從中國概念股觀點探討台灣與大陸股價指數關聯性之研究

A Research on Relationship between Taiwan and China Stock Index from the View of China Concept Stock

林豐政(Feng-Jenq Lin) ； 謝明翰(Ming-Han Hsieh) ； 陳志鈞(Chih-Chun Chen)

《兩岸金融季刊》 3卷4期 (2015/12) Pp. 75-94

摘要

由於兩岸發展越來越密切，「中國概念股」是近年來兩岸股市中熱門話題之一；過去相關文獻中，較少見到將其由台灣加權指數中抽離而進行探討。因此，本研究除台灣加權指數外，亦編製「中國概念股」加權指數與未包含其成分之台灣加權指數，以探討兩岸股價指數間關聯性的強度與長短期動態傳遞效果的變動。結果發現「中國概念股」與上海B股、深圳B股、深圳綜合間具明顯雙向回饋關係；而未包含其成分之台灣指數與上海B股間不具明顯關係，但與深圳B股間具些微單向領先關係，與深圳綜合間具些微雙向回饋關係；其次，「中國概念股」與大陸四類指數間不具長期穩定均衡關係，但未包含其成分之台灣指數則具有此關係。此外，「中國概念股」在面對大陸股市衝擊時反應程度較輕微，易受深圳綜合的衝擊所影響；但未包含其成分之台灣指數於短期內則與大陸四類指數間的自主性較強。

並列摘要

The China Concept Stock in Taiwan has become one of the hot topics in stock market recently, owing to the more close of cross-strait relational development. In lots of related references among different stock index, few of them were discussed about the issues of extracting the China Concept Stock from Taiwan stock index. Hence, three stock indexes, including Taiwan TAIEX index, China Concept Stock index, and Taiwan TAIEX index excluding China Concept Stock are developed and analyzed in this paper, and various time series methodologies are employed by fixed 6 lag period lengths on Cross-Strait Stock markets for understanding the relationship of intensity and the transmission effects among these markets on the short-term and long-term. The empirical results are shown as follows: (1) China Concept Stock in Taiwan has the reciprocal causation with SHBI, SZBI and SZCI; Taiwan TAIEX index excluding China Concept Stock seems to be insignificant relation with SHBI, however, it has some link in SZBI for leading sign and some link in SZCI for reciprocal causation; (2) we do not hold long-term equilibrium relationship which exists among the China Concept Stock and four China stock indexes, but it exists a long-term equilibrium relationship among Taiwan TAIEX index excluding China Concept Stock and four China stock index; (3) China Concept Stock has higher explanation than facing itself respectively and also affected by SZCI, but Taiwan TAIEX index excluding China Concept Stock is independent of the strongest stock.

並列關鍵字

China Concept Stock ； Fixed Lag Period ； Cointegration Test ； Granger Causality ； VECM

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