English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113656/144643 (79%)
Visitors : 51759552      Online Users : 527
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/106392
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/106392


    Title: 滬港通有助於滬市理性化嗎?從磁吸現象角度探討
    Can Shanghai-Hong Kong Stock Connect help rationalize Shanghai stock market? From the perspective of magnet effect
    Authors: 黃璟然
    Contributors: 湛可南
    黃璟然
    Keywords: 滬港通
    漲跌幅限制
    磁吸現象
    Shanghai-Hong Kong Stock Connect
    Price limits
    Magnet effect
    Date: 2016
    Issue Date: 2017-02-08 16:33:39 (UTC+8)
    Abstract: 上海證券交易所與香港聯合交易所於2014年11月17日啟動滬港通計劃,允許兩地投資者在本地交易所買賣對方市場的股票。本文試圖以漲跌幅限制之磁吸現象探討滬港通對上海股市的影響。文章延用Hsieh, Kim and Yang(2009)之Logit回歸,將參與滬股通之股票以換手率與市值區分,藉以檢測不同組合股票之磁吸現象。研究結果顯示,在樣本期間發現當較高市值股票漲幅達9.5%以上出現磁吸現象,當較低市值股票漲幅達9%以上出現冷卻現象。而兩種組合的股票跌幅達6%以上時均出現反轉效果。為比較滬港通前後之變化,本文加入虛擬變數以區分事件前後,研究結果顯示,滬港通啟動後較高市值股票跌幅達9.5%以上、較低市值股票漲幅達8%以上時出現磁吸現象,冷卻現象消失,可得知滬港通並沒有產生理性作用。本文發現已在兩地上市之A+H股的磁吸現象在滬港通啟動後消失,可推測資訊不對稱及交易規則讓A股的外國投資者無法選擇最佳策略,而雙重上市股票則可以讓其於價格觸發漲跌幅限制前調整交易策略。
    SSE and HKEX have provided Shanghai-Hong Kong Stock Connect since Nov. 17th, 2014, which allows investors in one market to trade shares listed on the other market through their local brokers. The article attempts to discuss the impact of Shanghai-Hong Kong Stock Connect on Shanghai stock market from the perspective of the magnet effect. Using a logit model proposed by Hsieh, Kim and Yang (2009), the thesis classifies the stocks as turnover rate and market capitalization, examining the magnet effect with different portfolios. The results demonstrate that the magnet effect appears as the price of large stocks increases 9.5% while the cool-off effect initiates as the price of small stocks decreases 9%. Reversal effect is found in both large and small stock when the decline of the price exceeds 6%. Moreover, a dummy variable is introduced in the regression to capture the difference made by the Connect. The evidence of magnet effect is shown respectively when the price of large stocks decreases 9.5% and when the price of small stocks decreases 8% after the Connect launched. Price limits fail to cool off the market. Therefore, the program may not rationalize Shanghai stock market. Due to the disappearance of magnet effect on A+H shares after the link between two markets, the thesis conjectures the program may provide an opportunity to switch to Hong Kong market before the price crosses the limit bound. However, information disadvantage and strict trading rules force foreign investors trading on A-shares to make suboptimal strategies.
    Reference: Bekaert, G., & Harvey, C. R. (1997). Emerging equity market volatility. Journal of Financial Economics, 43(1), 29-77.
    Brennan, M. J., & Cao, H. H. (1997). International portfolio investment flows. Journal of Finance, 52(5), 1851-1880.
    Chakravarty, S., Sarkar, A., & Wu, L. (1998). Information asymmetry, market segmentation and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares. Journal of International Financial Markets, Institutions and Money, 8(3), 325-356.
    Cho, D. D., Russell, J., Tiao, G. C., & Tsay, R. (2003). The magnet effect of price limits: Evidence from high-frequency data on Taiwan Stock Exchange. Journal of Empirical Finance, 10(1), 133-168.
    Choe, H., Kho, B. C., & Stulz, R. M. (1999). Do foreign investors destabilize stock markets? The Korean experience in 1997. Journal of Financial Economics, 54(2), 227-264.
    Chen, J., Hong, H., & Stein, J. C. (2001). Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices. Journal of Financial Economics, 61(3), 345-381.
    Easley, D., & O`hara, M. (1987). Price, trade size, and information in securities markets. Journal of Financial Economics, 19(1), 69-90.
    Easley, D., & O`hara, M. (1992). Time and the process of security price adjustment. Journal of Finance, 47(2), 577-605.
    Fama, E. F. (1989). Perspectives on October 1987, or what did we learn from the crash? In Kamphuis Jr., R.W., Kormendi, R.C., Henry Watson, J.W. (eds.), Black Monday and the Future of the Financial Markets. (Chicago: The Mid-America Institute for Public Policy Research)
    Frenkel, M., & Menkhoff, L. (2004). Are foreign institutional investors good for emerging markets? The World Economy, 27(8), 1275-1293.
    Glosten, L. R. (1987). Components of the bid-ask spread and the statistical properties of transaction prices. Journal of Finance, 42(5), 1293-1307.
    Glosten, L. R., & Harris, L. E. (1988). Estimating the components of the bid/ask spread. Journal of Financial Economics, 21(1), 123-142.
    Harris, L., (1990). Liquidity, trading rules, and electronic trading systems. New York University Salomon Center Monograph Series in Finance, 1990-4.
    Hausman, J. A., Lo, A. W., & MacKinlay, A. C. (1992). An ordered probit analysis of transaction stock prices. Journal of Financial Economics, 31(3), 319-379.
    Hsieh, P. H., Kim, Y. H., & Yang, J. J. (2009). The magnet effect of price limits: A logit approach. Journal of Empirical Finance, 16(5), 830-837.
    Kang, J. K., & Stulz, R. M. (1997). Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan. Journal of Financial Economics, 46(1), 3-28.
    Kim, K. A., & Rhee, S. (1997). Price limit performance: evidence from the Tokyo Stock Exchange. Journal of Finance, 52(2), 885-901.
    Kim, E. H., & Singal, V. (2000). Stock market openings: Experience of emerging economies. Journal of Business, 73(1), 25-66.
    Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica: Journal of the Econometric Society, 1315-1335.
    Lehmann, B. N. (1989). Commentary: Volatility, price resolution, and the effectiveness of price limits. Journal of Financial Services Research, 3(2-3), 205-209.
    Mei, J., Scheinkman, J., & Xiong, W. (2005). Speculative trading and stock prices: Evidence from Chinese AB share premia. NBER Working Paper Series, 11362.
    Scheinkman, J. A., & Xiong, W. (2003). Overconfidence and speculative bubbles. Journal of Political Economy, 111(6), 1183-1220.
    Subrahmanyam, A. (1994). Circuit breakers and market volatility: A theoretical perspective. Journal of Finance, 49(1), 237-254.
    Wong, W. K., Liu, B., & Zeng, Y. (2009). Can price limits help when the price is falling? Evidence from transactions data on the Shanghai Stock Exchange. China Economic Review, 20(1), 91-102.
    Description: 碩士
    國立政治大學
    財務管理研究所
    103357039
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103357039
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

    Files in This Item:

    File Description SizeFormat
    703901.pdf969KbAdobe PDF238View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback