市場整體與產業雙重層面探討加入WTO後之台海兩岸股市關聯性

The Market and Industry Stock Return Interrelations between China and Taiwan in the Post-WTO Era

陳立斌(Li-Ping Chen) ； 崔可欣(Keshin Tswei) ； 劉亞秋(Ya-Chiu Angela Liu)

《台灣管理學刊》 10卷2期 (2010/08) Pp. 171-204

https://doi.org/10.6295/TAMJ.2010.1002.04

摘要

本文探討中國進入WTO後兩岸股市關聯性的變化。為了去除兩岸綜合股價指數可能因產業組成不同而呈現關聯性不足的問題(Roll, 1992)，特別使用九種產業股價指數以便在相同產業的基礎上探討股價關聯性。研究期間區分為三階段，並以Chow 檢定確認其間的結構性差異，再分別進行共整合檢定、因果關係檢定、衝擊反應函數及預測誤差變異數分解等分析。在第一階段金融開放的初期發現兩岸股價關聯性甚低，此現象和文獻所顯示中國股市在2005年以前與其他市場是隔離的論點一致。2005年以後的第二階段及2008年以後的第三階段，中國金融自由化程度大幅提昇，兩岸股市的相互影響能力亦顯著提高。在2005年以後中國股市開始顯出對台灣的影響力，則為文獻中的新發現。此外還發現雙邊貿易能促進兩岸產業的關聯性，預期隨著兩岸經貿交流日益密切，相關產業的股價關聯程度更將提高。

關鍵字

經濟整合 ； 股市關聯性 ； 金融自由化 ； 國家要素

並列摘要

This paper investigates the dynamic stock index returns relations between China and Taiwan since China entered WTO. On account of Roll's (1992) view of low correlations of inter-market composite indices due to diverging industrial compositions in the indices, we specifically add nine industry indices in our study to control for the compositional differences. The post-WTO era is divided into three sub periods confirmed by the Chow test. Analyses including cointegration test, Granger causality test, impulse response function and forecast error variance decomposition are conducted for each sub period. The initial market openness period shows an immaterial interrelation between the two markets, consistent with the existing result that China's stock markets were segregated from most other markets before 2005. The post-2005 second period and the post-2008 third period that feature extensive liberalization measures in China also witness a significant interdependence between the two stock markets. A result new to the literature is that the Chinese markets began to influence Taiwan after 2005. We also find that bilateral trade could facilitate industrial indices interrelations between the two markets. The ongoing cross-strait integration process would therefore be expected to further increase interrelations for many industrial indices.

並列關鍵字

economic integration ； stock market interrelation ； financial liberalization ； country facto