| dc.description.abstract | Currently, a lot of studies point out the joint movement of stock market between East Asian countries, but very few studies would regard the joint movement of regional economic growth towards stock market for research and study, but trade market and capital market should have interrelations, the influence of specific regional economic integration for the stock market of each country should be the topic that the investors continued to pay close attention to; hence, this promotes the motive of this study, which hopes to carry out the test that is focused on the co-movement phenomenon between the cross-Strait regions and the US stock market before and after China and Hong Kong implemented CEPA, so as to observe after the implementation of CEPA, the relationship between cross-Strait and US stock markets has produced any changes or not.
The main scope of this study is the stock markets of U.S.A., China, Hong Kong and Taiwan, so it is based on Shanghai Stock Exchange’’s A share index, Hang Seng China Enterprises Index (HSCEI), Taiwan Weighted Stock Index that is issued by Taiwan Stock Exchange Corporation and Dow Jones Industrial Average (DJIA). For the time of information sampling, the division point of information time will be January 1st 2004 that CEPA has been officially implemented, the time is divided into two stages, the first stage is before the implementation of CEPA, the duration is from January 3rd 2001 to December 31st 2003; the second stage is after the implementation of CEPA, the duration is from January 3rd 2004 to July 13th 2007. The information that is used for variable calculation is the daily closing quotation stock indexes of the four regions’ stock markets in order to calculate the stock return for each region, and then the daily stock return is served as the calculation basis.
The study methods that this study adopt mainly includes Vector Autoregression Model, Johansen’s cointegration model, and Granger Causality Test, which are used to examine whether the interactions or relationships between the stock returns of the stock markets in the four regions have changed before and after the implementation of CEPA. After case studies analysis, the following findings have been discovered. First of all, from descriptive statistics one can know the market returns of the four stock markets did not conform to the assumption of normal distribution. Secondly, through Unit root test, one can confirm that the stock returns are all conformed to the numbers of the stationary. And according to Granger Causality Test, the biggest difference before and after the implementation of CEPA lies in Shanghai Stock Exchange’’s A share index form Mainland China, it is affected by Hang Seng China Enterprises Index and Dow Jones Industrial Average after the implementation of CEPA, the analytical result of VAR also showed an unanimous conclusion, and Impulse Response Function and Variance Decomposition are used to view the degree of influence that each stock market is affected by the other stock market in different times.
The conclusion of this study believes that the implementation of CEPA is contributive to the joint movement between Mainland China’s Shanghai A Share Index and international stock market. After the implementation of CEPA, the rate of return of Shanghai A Share Index is influenced by the previous period’s rate of return of Dow Jones Industrial Average, that means Shanghai A Share Index is integrating with the world market gradually, the relationship may be closer in the future. Hong Kong stock and Taiwan stock are the stock markets that are closer to the international stock market, and the return of Taiwan stock will be affected by Hong Kong H-share, they are not in the same distinguishing market. Hong Kong is still the main influence within the cross-Strait regions’ stock markets, because the fund flows, the foreign capital investment, and the foreign exchange control in Hong Kong are all comparatively opened when comparing to Taiwan and China markets. And in recent years, the trend of enterprises of cross-Strait regions went to Hong Kong to list their enterprises one after another have also strengthened the influence of Hong Kong stock market towards Taiwan and China stock market. And the introduction of QDII system strengthens the flow of capital between different capital markets, which is worthy of the continuous attention by the follow-up studies. | en_US |