中國加入WTO之後與主要貿易往來國家的動態股市關聯性之研究

既有文獻多有中國與國際股市呈現區隔狀態的發現，惟中國於2002年加入WTO之後即逐步開放金融市場並分階段放寬資本管制，金融自由化程度逐漸提高，同時其經濟亦持續快速成長，本研究目的即在探討中國與國際股市關聯性是否會隨其財經環境大幅改善而有所提升。據此依中國資本市場的自由化程度將研究期間劃分為三個階段，再以中國和五主要貿易夥伴共六個股市的聯立VAR模型進行估計分析。研究發現中國加入WTO之後在第一階段金融開放的初期，其僅允許外資進入股市卻仍管制資金流出，與其他股市的關聯性很微弱，此與過去文獻發現相似，但自開始於2005年7月的第二階段起，中國逐步放寬資金流出管制，其與國際股市的關聯性即出現明顯提升，此關聯性在全球金融危機過後2009年8月起的第三階段更持續大幅躍升，故研判中國快速成長的經濟表現和持續之自由化應有助於促進其與國際股市的關聯性。

關鍵字

股市關聯性；資本管制；自由化政策；衝擊反應函數；預測誤差變異數分解

並列摘要

Most existing literature has found that China's stock markets were segregated from the international stock markets. Since entering WTO in 2002, China has relaxed capital control in phases to steadily liberalize its financial sector and has been enjoying remarkable economic growth. The purpose of this paper is to investigate whether the interdependence between China's stock market and the international stock markets has strengthened in the wake of China's improving economic environments. We divided the research period into three sub-stages according to the degree of liberalization in China's capital market and estimated and analyzed six-variable VARs on stock returns of China and its five major trading partners. In the first stage wherein foreign capital inflow was permitted but capital outflow remained restricted, we found immaterial interdependence between China's market and the international markets, consistent with the findings of most past literature. In the second stage that begins in July 2005 when capital outflow restrictions were lifted, the interdependence with the international markets had risen. The interdependence has improved remarkably in the post-financial crisis stage that begins in August 2009. We reason that China's economic performances and its ongoing liberalization may have facilitated this increasing interdependence.

並列關鍵字

stock market interdependence ； capital flow control ； liberalization policy ； impulse response function ； forecast error variance decomposition

國際替代計量

中國加入WTO之後與主要貿易往來國家的動態股市關聯性之研究

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