中國加入WTO後與主要貿易夥伴的股市動態關聯之研究

A Study on the Dynamic Interdependence in Stock Returns between China and its Major Trading Partners since China Entered WTO

陳立斌(Li-ping CHEN)

指導教授 ： 劉亞秋 ； 崔可欣

國立中正大學/管理學院/企業管理學系/博士(2013年)

摘要

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，本論文的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，並分兩個部份討論此一議題。
第一部份探討中國進入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。
第二部份則探討中國與五個主要貿易夥伴的股市關聯性。同樣依據中國資本市場的自由化程度將研究期間劃分為三個等長的階段，再以六個股市的聯立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，顯示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。
此外，本論文特別針對第三階段的子階段 (2009/8至2011/2，其間中國仍持續實施四兆人民幣經濟刺激方案) 進行討論，並發現中國以外的各股市之間相互的影響能力大部分呈現衰退，僅中國與其他各股市相互的影響能力仍全面提升，顯示此階段中國持續的自由化政策及所採行的經濟刺激方案有助於提升中國與其他股市之互動關係，另外，尚發現美股在此一期間對韓、台、港股市的影響力轉弱且略遜於中國對此三地股市的影響力。但就第三階段整段而論，美股對多數亞股的影響力仍然與第二階段相同或提升，僅對香港股市 (在forecast error variance decomposition方面，尚包括台灣) 有下滑的跡象。

關鍵字

預測誤差變異數分解 ； 衝擊反應函數 ； 自由化政策 ； 資本管制 ； 國家要素 ； 股市關聯性 ； 經濟整合 ； 金融自由化

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 controls on capital in phases to steadily liberalize its financial sector and has been enjoying remarkable economic growth. The objective of this dissertation is to investigate whether the interdependence between the stock markets in China and the international stock markets has strengthened in the wake of the improvement of the economic environments in China. The dissertation is composed of the following two parts.
In the first part, the dynamic relations of stock index returns between China and Taiwan since China entered WTO were investigated. Considering the Roll’s (1992) view of low correlations of inter-market composite indices due to diverging industrial compositions in the indices, we therefore added nine industry indices in our study to control for the compositional differences. The post-WTO era was 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 were conducted for each sub period. There was no material relationship between the markets in Taiwan and China in the initial market openness period, consistent with the existing reports that the stock markets in China were segregated from most other markets before 2005. However, there was a significant interdependence of the stock markets in Taiwan and China in the post-2005 second period and the post-2008 third period, when extensive financial liberalizations occurred in China. A novel finding in the present study suggested that the Chinese markets have begun to influence the markets in Taiwan since 2005. It was also found that bilateral trade would increase the interrelations of industrial indices between the markets in Taiwan and China. The ongoing increasing cross-strait interactions would therefore be expected to further increase interrelations for many industrial indices.
In the second part, the dynamic interdependence in stock returns between China and its five major trading partners was investigated. Similarly, the research periods were divided into three sub stages in accordance with the degree of liberalization in China’s capital market. We estimated and analyzed the six-variable VARs on stock returns from the six selected stock markets. In the first stage, during which foreign capital inflow was permitted but capital outflow remained restricted in China, we found no interdependence between China’s markets and the international markets, consistent with the findings from most other reports. In the second stage, beginning July 2005, when the capital outflow restrictions in China were lifted, the interdependence with the international stock markets had risen. The degree of interdependence has further increased in the post-financial crisis stage, beginning August 2009, revealing that China’s economic performances and its ongoing liberalization may have contributed to the increasing interdependence.
In addition, the dissertation also investigated the interdependence in stock returns during the period between 2009/8 and 2011/2 in the third stage, wherein China continued a 4 trillion yuan stimulus package to boost its economy. It was found that whereas the interactions among the other five markets declined in general, interactions between China’s markets and the other five markets continued to rise. This indicated that China’s ongoing liberalization and the stimulus measures may have facilitated the increasing interactions. We also found that during this period, the impact of U.S. stock market information on the markets of Korea, Taiwan and Hong Kong weakened and became less significant than that of China on these markets. However, during the whole third period, the impact of U.S. stock market information on most Asian stock markets remained unchanged or increased compared to that in the second stage, with the exception of Hong Kong (and Taiwan as well in the result of forecast error variance decomposition).

並列關鍵字

forecast error variance decomposition ； impulse response function ； liberalization policy ； capital flow control ； country factor ； stock market interdependence ； economic integration ； financial liberalization

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