近來台灣與中國大陸的關係經由各項貿易協定及交流越來越密切,就目前出口量而言,中國大陸已經成為台灣貿易第一大出口國,為了關注兩個市場間的關係,本研究以台灣股價加權指數與上海綜合指數為研究對象,選取自1998年1月1日至2014年4月10日之日資料為樣本期間,探討考慮結構性改變對台灣股價加權指數與上海綜合指數間共整合關係之影響。 由實證結果:Johansen共整合結果呈現此兩市場在考慮結構性改變之前後皆存在著一組共整合關係,但是若未考慮結構改變時則無法發現此一結果。而從誤差修正模型觀察兩樣本樣本資料的市場行為是否因為結構改變,結果發現兩市場間的市場短期偏離後修正回長期趨勢的時間必須拉長。
Taiwan and mainland China recently are getting closer through various trade agreements and exchanges. In terms of the current export volume, the mainland China has become the first largest trade exporter in Taiwan. In order to focus on the relationship between the two markets, the paper is going to discuss the effect of considering structural changes on the integration of TWSE Index and the Shanghai Composite Index by taking the TWSE index and the Shanghai Composite index from January 1, 1998 to April 10, 2014 as the research object. The results: Johansen co-integration results shows that there are a group of co-integration in both two markets before and after the considering structural changes, but the results cannot be get without considering structural changes. To observe whether the marketing behavior of two sample data changes according to considering structural changes by error correction model(ECM), we found that the time for the two markets’ short-term deviation to back to long-term trend must be stretched.