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| Title: | A股和H股互動關係研究
On the Comovement of the Chinese A and H Shares |
| Authors: | 安娜琳
Landeghem, Anneleen Van |
| Contributors: | 朱浩民
Chu,Hau Min
安娜琳
Anneleen Van Landeghem |
| Keywords: | A股
H股
互動關係
Comovement
China
A share
H share |
| Date: | 2008 |
| Issue Date: | 2016-05-09 11:50:15 (UTC+8) |
| Abstract: | This thesis gives a brief account on the segmented Chinese stock markets. The indexes of A shares, i.e. shares on the domestic market sold only to domestic investors and the H share index, i.e. foreign shares sold on a foreign stock market, Hong Kong, and sold only to foreigners are compared. With time, the Chinese government is opening up its stock market more and more and allowing more interaction between local and domestic stock markets, but one step at a time. Three major attempts to open up the markets are described and investigated on their effect on the integration of the H share market and the A share market. We checked for the introduction of CEPA, QDII and “through train”.
The tests applied were ADF test, Engle-Granger cointegration test and Granger causality test. We found no cointegration for the entire sample and in none of the subsamples we used. The findings on the causality relations among the different stock markets don’t confirm any of the four causality relations defined before. We don’t see any unidirectional causality and it changes over time. We cannot confirm the global center hypothesis or the home bias hypothesis, but we can also not claim that the markets are completely segmented and show no correlation among prices. There is a correlation and there are causality links but they change every time the government changes its regulations. However, it is not clear what kind of regulations will make the causality change in which direction. |
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Media articles
Jamil Anderlini , “China signals it could ease share curbs”, Financial Times, March 6, 2008.
Sun, Ed, “Red Chip Rethink”, International Financial Law Review (2007:26).
“‘H’ Shares in Headlights as China opens HK”, Euroweek (2007:1018) Special Section, p.6.
“Red Chips wait for Chinese Go-ahead”, International Financial Law Review (2007: 26).
« 中國QDII實際匯出資金逾350億美元 », 第一財經日報 2008-04-02.
Chinese articles
Cao Chuanqi 曹傳琪, « A - H股聯動性實證研究», Group Economy 上市公司 (2007 :241), p. 254.
Gao Yu & Xu Miao 高宇 & 徐淼, « A股 、H股市場價格差異及影響因素的實證分析 », Investment Stock & Insurance 投資證券保險 (2007 :10), pp. 31-32.
Li Dawei 李大偉, « A股H股收益率和潑動率研究 »，Finance and Trade Economics財貿經濟 (2003 :12), pp.50-52.
Li Zhiqiang 李志強, « 誰決定H股的走勢 – 基於中企指數與香港 、大陸市場指數的協整分析 », 數理統計與管理 (2005 :7), pp.322-325.
Tian Yinghua & Zhang Deng 田映華 & 張登, « A股H股價格差異的影響因素, Contemporary Economics 經濟生活 (2007 :8), pp.34-35.
Yao Ning姚寧 « 交叉上市和價格發現：中國A股和H股的實證研究 », Journal of Inner Mongolia Agricultural University內蒙古農業大學學報 (2007:9), pp. 63-65.
Websites
China Securities Regulatory Commission http://www.csrc.gov.cn
(last accessed February 27, 2008)
Hong Kong Exchanges and Clearing Limited http://www.hkex.com.hk
(last accessed March 4, 2008)
State Administration of Foreign Exchange http://www.safe.gov.cn
(last accessed March 4, 2008)
“QDII” http://www.chinadaily.com.cn/bizchina/2006-09/26/content_696730.htm
(last accessed February 29, 2008)
“Taking Stock” http://www.chinadaily.com.cn/bizchina/2008-02/18/content_6463525.htm
(last accessed February 29, 2008)
NYSE Euronext, investor relations,
http://ir.nyse.com/phoenix.zhtml?c=129145&p=irol-newsArticle_Print&ID=1083142&highlight= (last accessed February 27, 2008) |
| Description: | 碩士
國立政治大學
金融研究所
95352035 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0095352035 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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