Johansen大陆香港台湾三地股票市场联动性分析
本文选取沪深300、台湾加权股指、恒生股指的日收盘价，利用Johansen协整检验分析两岸三地是否存在长期均衡关系，并进一步以方差分解和脉冲响应函数来分析各个股指受外部扰动冲击时的影响。此外探究这三支股指的格兰杰因果关系以及利用ARCH拟合三支股指的收益率。
实证分析得到以下结果：1）就收益-风险来说，沪深300收益率最高，标准差最小，是理想的投资市场。2）内地股票市场与港、台的股市存在长期联动性且相关性正在逐渐变大。3）大陆股市承受港、台股市冲击的能力不断增大，台湾股市对香港股市的扰动反应不大，但是香港股市受台湾股市的冲击影响较剧烈。4）港、台两地的股指都是大陆股指的格兰杰原因，存在短期信息传递效应。
关键词 股市联动 格兰杰因果关系 协整 GARCH
毕业论文 外 文 摘 要
Title An Analysis of Co-movement for China, Hong Kong and Taiwan Stock Markets
Abstract
Since the reform and opening up in 1978, China's economy has developed rapidly, and the co-movement between China and other regions seems to be increasingly significant. The stock market, as a barometer of the economy, also shows the same trend. China, Hong Kong and Taiwan stock market, due to historical reasons, develop independently, but with the maturity of the mainland stock market and the implement of a series of policies that promote the cooperation among three places, links between these three markets are gradually deepened.
This paper selects the daily closing quotation data of CSI 300, Taiwan Weighted Stock Index and the Hang Seng Index from January 2002 to May 2015 as the research objects and pides them into two stages. Analyze whether there is a long-term equilibrium relationship between the mainland, Hong Kong and Taiwan market by using Johansen co-integration test. Analyze how stock indexes response to exogenous shock by using variance decomposition and impulse response function. In addition, explore the granger causality of the three indexes and use ARCH to model the yield of three indexes.
The empirical analysis obtains the following results: 1) In terms of benefit - risk, CSI 300 has the highest yield and the minimum standard deviation. Thus, it is the ideal investment market. 2) The mainland stock market has formed a long-term correlation with Hong Kong and Taiwan stock market and this correlation is gradually becoming bigger. 3) The capacity of Mainland stock market to bear the disturbance of Kong and Taiwan stock market is increasing. Taiwan stock market has little reaction on disturbance of the Hong Kong stock market, while the influence on Hong Kong stock market from the impact of Taiwan stock market is intense. 4) Hong Kong and Taiwan stock index are Granger cause to the mainland stock index, which means that there is a short-term effect of information transmission. .
Keywords stock market co-movement granger cause co-integration test GARCH
目 次
1 导言 1
1.1 研究背景以及意义 1
1.2 文献综述 2
2 研究方法 7
2.1 相关性分析 7
2.2 单位根检验 7
2.3 协整检验 8
2.4 格兰杰因果检验 8
2.5 向量自回归模型 10