滬港通對兩岸股票市場價量影響－變異數比率檢定之應用

The Influence of Cross-Strait Stock After Shanghai-Hong Kong Stock Connect- Application of Variance Ratio Test

賴泓宇(Hong-Yu Lai)

指導教授 ： 李沃牆

共同指導教授 ： 池秉聰(Chih-Bing Cong)

淡江大學/商管學院/財務金融學系碩士班/碩士(2016年)

https://doi.org/10.6846/TKU.2016.00807

摘要

自 2010 年簽訂 ECFA 後，兩岸經貿交流往來速度大幅加快，兩岸貿易總額佔台灣總貿易比重達 39%至41%，顯見中國大陸已是我國最重要的的貿易夥伴，身在旁邊鄰國的台灣，中國經濟實力在世界當中擁有舉足輕重的地位，將透過變異數檢定方式針對台灣、中國分析滬港通後對兩岸股票市場及總體經濟的影響。本研究以滬港通後使用傳統的變異數比率分別對上海證券A股、台股指數報酬做序列相關檢定，檢定滬港通後中國市場有無效率性和訊息交易對兩岸股價的波動影響，結果顯示在全樣本當中，無論是齊質或異質假設下p-value都不顯著，表示拒絕隨機漫步之虛無假設，此結果透露出樣本市場與平均數來比較，與平均數距離越遠差異越大故市場效率並無提升太多，在次樣本下，對上海證券A股指數和台灣股價加權指數的最高價與股票指數的變異數比率做檢定發現，無論是台灣還是中國，在滬港通後變異數比率是增加的，Z值在上證A股指數部分是減少的，在台灣股價指數上是增加的。

關鍵字

滬港通 ； 上證A股 ； 變異數比率 ； 人民幣 ； 訊息交易

並列摘要

Since 2010, after the signing of ECFA, cross-strait economic and trade exchanges between the speed dramatically accelerate cross-strait trade volume share of Taiwan's total trade amounted to 39-41%, showing that mainland China is China's most important trading partner, next to the body in neighboring Taiwan China's economic strength has a pivotal position in the world which will be aimed at Taiwan, China analyze the impact on cross-strait stock market and overall economy after the Shanghai-Hong Kong stock Connect through variance test mode. In this study, after Shanghai and Hong Kong through the use of traditional variance ratio respectively, the Shanghai Securities A shares, Taiwan stock index returns do serial correlation test, test whether the efficiency of the Chinese market fluctuations and trading posts on both sides after the Shanghai and Hong Kong stock price through results which is displayed in the full sample, either homogeneous or heterogeneous substance under the assumption that p-value not significant, indicating that the null hypothesis is rejected random walk, the results of this sample revealed the average market and to compare, the farther the distance the greater the difference between the average therefore, to enhance market efficiency is not much, in the second sample, the ratio of the number variations Shanghai Securities a-share stock price index and Taiwan weighted index is the highest price and the stock index to do test found that both Taiwan or China, in Shanghai and Hong Kong after the pass variance ratio is increased, Z value on the Shanghai a-share index portion is reduced, on the Taiwan stock index is increased.

並列關鍵字

Shanghai-Hong Kong Stock Connect ； Shanghai A-share ； Variance Ratio Test ； RMB ； Information and Noise Trading

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