The Relationship among the stock markets in Taiwan, Hong Kong and China─An Application of Threshold Autoregressive Model
| Autor: | 林秋靜 |
|---|---|
| Rok vydání: | 2003 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 91 The stock market relationship among Taiwan, China and Hong Kong has recently attracted great attention. There are three reasons why those markets are interrelated: first, they are Chinese; second, their capital moves frequently; third, they have the same development pattern. The purpose of this essay is to study market integration across the greater China stock markets. And if stock indexs of Taiwan, China and Hong Kong were change, how to impact others. To avoid any structure changes and to seek for stability and consistency in the paper, variables selected in this paper will be taken after the Hong Kong reunification to Mainland China. We use Granger Causality, Error Correction Model to discuss the long and short term interaction and performances of our variables between four different areas mentioned above. 1. We have found the Hong Kong stock market plays a most influential role (regional force) among the Taiwan and China stock markets. 2. The data also indicate the Granger Causality relations among Taiwan, Hong Kong and China stock markets: Besides Shen Tzuenn and Shanp Hae stock markets is strong feedback relationship, other markets are unidirection relationship. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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