Ch inese Journal of M anagem ent

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Γιάννη Γιαννόπουλος
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1 Ch inese Journal of M anagem ent V o l. 2 N o. 2 M ar H ( ) : B Johan sen H H B Granger H ; H H : ; ; ; : F : A : g (2005) A Study on Co- in tegra tion and Causa lity am ong HongKong Red Ch ips H-Shares and M a in land Stock M arket W u Sh inong Pan Yue (X iam en U n iversity X iam en Ch ina) Abstract: Co in tegration am ong differen t cap ital m arkets is u sually affected and changed by som e sign ifican t even tṡ A cco rding to the tw o tu rn ing po in ts of the cap ital m arkets in Ch ina Sou theastern F inancial C risis and the open ing of B 2Shares to the m ain land investo rs th is paper has exam ined the co2in tegrative relation sh ip am ong HongKong R ed Ch ip s H shares and the m ain land stock m arket of the th ree sub periods divided from 3 Ju ly 1994 to 31 O ctober 2003 by u sing Johan sen M u ltivariate Co2 in tegration T esṫ It w as tu rned ou t that there has ex isted long2term stab le co2in tegration relation sh ip am ong R ed Ch ip s H Shares and the m ain land stock m arket and such co2in tegration has been strengthened after the open ing of B Shareṡ T he cau sality by u sing Granger Cau sality T est w as tested based on V ecto r E rro r Co rrection M odel. It w as seen that the trend of R ed ch ip s has been the key indicato r of the fluctuation of the m ain land m arket bu t there is no the relation betw een H 2Shares and the m ain land stock m arkeṫ F rom Granger Cau sality T est it also w as indicated that R ed Ch ip s p lays a leading ro le in the m ovem en t of H Shares bu t the ro le has disappeared after F inancial C risiṡ T he above conclu sion s w ere again p roved by the resu lts of Fo recast V ariance D ecom po sition and Im pulse R espon se Function. Key words: red ch ip s; co2in tegration test; fo recast variance decom po sition; im pulse respon se 1 CEPA : : ( ) 190

2 H Bailey 20 (1994) Johnson (1994) H uang (2000) 90 H (co integration) (2002) : H 10 (blue ch ip ) H % H H 33 H 23% Sun (2000) H B : A H H Poon (2000) 2003 H 72 H 87 EGA RCH 2M H (sp illover effects) T an (1998) ; H M asih ( 1997 ) Chang ( 2001 ) Su (2003) F rancisco (2003) H T an (1998) B H? 2003 Engle (contagion effect) Baig (1999) Granger B (co2movem ent) Su (2003) F rancisco (2003) H Chang (2001) H

3 H (W ang 2003) HCC I HCE I H SH I 3 Chen (2002) B H 3. 1 Engle (1987) H B H H 2001 B H H 3 : 1 ; 2 D ickey ( ) AD F B ; 3 B (A ugm ented D ickey- Fuller T est) AD F 1997 x t = Θ0 + Ξt + Θx t n i x t- i + Εt (1) 6 8 x t t H ; x t- 1 t - 1 ; x t t ; Ξ t ; Θ0 ; i ; Εt B AD F H 0: Θ= 0; H 1: Θ< 0 Σ t Σ D F Engle (1987) x t x t= x t- x t (stationary p rocess) x t (unit roo t) H x t x t 3 : ; ; A IC 192 i= 1

4 H t H 0 x t (2) : x t ; H 0 X t = # 1 X t- 1 + # 2 X t # k- 1 X t- k+ 1 + AD F 0 kx t- k + Λ + Εt (3) H 0 Εt ; 0 = - 6 p A i - I (i = 1 2 x t H 0 1 i= 1 H k - 1); # i = - 6 k A j j= i+ 1 3 Johansen 0 A IC (A kaike 3 Info rm ation C siterion) : R ank (0 ) = n 0 1 AD F X t ; R ank (0 ) = 0 0 (3) X t AD F AD F ; 0 < R ank (0 ) = r < n (Θ0 Ξ) (Θ0 Ξ) (n r) Α Β 0 = Α Β HCC I (Θ0 0) (Θ0 Ξ) Α Β r 1 HCE I (Θ0 0) (Θ0 Ξ) X t SH I (Θ0 Ξ) (0 0) Β X t 0 HCC I (Θ0 Ξ) (0 0) 2 HCE I (Θ0 0) (0 0) SH I (Θ0 Ξ) (Θ0 0) HCC I (Θ0 0) (0 0) 3 HCE I (0 0) (Θ0 Ξ) SH I (0 0) (0 0) : 1. AD F 2. (Θ0 Ξ) Θ0 Ξ Κi i ; T (1) (Θ0 Ξ) r (Θ0 0) (0 0) % n - 1 n 3 H 2 1% 2 5% 1% ( ) N one A t mo st A t mo st 2 ( N one 3 ) A t mo st A t mo st 2 Johan sen N one ( ) A t mo st 1 3 H A t mo st 2 X t t : % 5% H (3 1) 2. A IC k 2 3 X t = u t + A 1X t- 1 + A 2X t A kx t- k + Εt (2) X t Johansen 0 H 0: r ; H 1: n ( ) (trace) 4 Q r = - T 6 n i= r+ 1 log (1 - Κi) (4) 193

5 m ci X 3 t- i + Εt (5) H 5% t= 1 X it H 1 ; 2 10% 1 ; 3 10% 2 F Johansen X 1 t- i a i H X 2 t- i bi X 3 t- i ci 0 3 Granger B H siao (1981) (F inal P rediction 3 1 E rro r FPE) 3 3 Granger 2 ( common stochastic trend ) ; L ee (1995) HCC I HCE I Granger ( ) 1 HCC I SH I Granger 1 2 H HCE I SH I 2 HCC I HCE I 3 2 HCC I SH I Granger 1 HCE I SH I B 1 3 H 3. 3 Granger 3 3 H Granger Granger (1988) 1 3 Granger Poon (2000) ; ; Granger Granger ( Granger R rep resentation T heo rem ) H 2 3 H Granger Granger (1988) 3. 4 ( H am ilton 1994) X it = Λit + Β Z t m a i X 1 t- i + 6 m bi X 2 t- i + t= 1 t= ; Β Z t- 1 r (5) Β 3 Granger HCC I HCE I HCC I SH I Granger HCE I SH I H 2 3 : 1

6 H Yt = c + 6 (7 sp ) (P - 1 Εt- s) = c + 6 (7 sp ) Ξt- s S = 0 S = 0 H (8) (8) Εt H Ξt Yt s V ar[yt+ s - E (Yt+ sgyt Yt- 1 Yt- 2 ) ] = Εt+ s + 7 1Εt+ s Εt+ s s- 1 Εt+ 1(9) EM S = (M ean Square E rro rm SE) s- 187 s- 1 = PP + 7 1PP s- 1PP 7 s- 1 = H 3 Yt (3 1) 6 3 (P jp j + 7 1P jp j s- 1P jp j7 s- 1) (10) j= 1 p P j P j j Yt = B + A 1Yt- 1 + A 2Yt A p Yt- p + Εt (6) s A i 3 3 ; B ; Εt 3 8 Yt (6) s Yt = C sεt- s (7) s= 0 (10) 7 ; C (6) A i B 8 P 8 = P P (7) g% 2 g% 3 g% HCC I HCE I SH I HCC I HCE I SH I HCC I HCE I SH I HCC I HCE I SH I

7 (1) ; H 3 90% H 30% 80% H H 50% (2) H H t 1 H t 516% 2 H 20% 3 H (8) 7 sp i j 11% (3) s 1 (8) 4% H 116% H 2 1 H H 1317% 611% H 3 H H 6. 1% 0. 5% s 20 10% 1 1 H H 1 Granger (4) H H H 50% H 1 H H H H H % H 1 4 H 51% 40% H H 3 H i j 2 30% H 1 H 1 Granger H H 196

8 H 20 H (16 ) H H 2 H H H H H (a)hcc I 3 1 (b)hce I 3 1 (c) SH I (a)hcc I 3 1 (b)hce I 3 1 (c) SH I (a)hcc I 3 1 (b)hce I 3 1 (c) SH I

9 H 2 H 3 3 H H H Granger H H H 3 H H 1 3 : H 3 H ; 3 H ; H H H H Granger H B H (1) H 4. 2 H Johansen H 3 H B B H Granger H H (2) H B H B H CEPA 198

10 H T riangle [ J ]. In ternational R eview of F inancial A nalysis (3): [ 14 ] Johan sen S. Statistical A nalysis of Co in tegration QD II( ) V ecto rs [J ]. Journal of Econom ics D ynam ic and Contro l (2g3): [ 15 ] Johansen S Juselius K. M axim um L ikelihood E stim ation and Inference on Co in tegration w ith A pp lication to the D em and fo r M oney [J ]. O xfo rd Bu lletin of Econom ics and Statistics (2): [ 1 ]. H. [R ] [ 2 ] Bailey W. R isk and R eturn on Ch ina N ew Stock M arket: Som e P relim inary Evidence [ J ]. Pacific2 Basin F inance Journal (1): [ 3 ] Baig T Go ldfajn İ F inancial M arket Contagion in the A sian crisis [ C ]. IM F Staff Papers (2): [ 4 ] Chang T Y N ieh C C. International T ransm ission of Stock P rice M ovem en ts Am ong T aiw an and Its T rading Partners: Hong Kong Japan and the U n ited States[J ]. R eview of Pacific Basin F inancialm arkets and Po licies (4): [ 5 ] Chen G M F irth M R ui O M. Stock M arket L inkages: Evidence from L atin Am erica [J ]. Journal of Bank ing and F inance (6): [ 6 ] D ickey D A Fu ller W A. D istribu tion of the E stim ato rs fo r A uto regressive T im e Series w ith a U n it Roo t [ J ]. Jou rnal of Am erican Statistical A ssociation (366): [ 7 ] D ickey D A Fuller W A. L ikelihood R atio Statistics fo r A uto regressive T im e Series w ith a U nit Roo t[j ]. Econom etrica (4): [ 8 ] Engle R F Granger C W J. Co2integration and E rro r Co rrection: R ep resen tation E stim ation and T esting [J ]. Econom etrica (2): [ 9 ] F rancisco C V icente M. H as 1997 A sian C risis Increased Info rm ation F low s betw een In ternational M arkets[j ]. In ternational R eview of Econom ics and F inance (1): [ 10 ] Granger C W J. Som e R ecent D evelopm ents in a Concep t of Cau sality[j ] (1g2): Jou rnal of Econom etrics [ 11 ] H am ilton J D. T im e Series A nalysis [ M ]. P rinceton: P rinceton U n iversity P ress [ 12 ] H siao C. A uto regressive M odeling and M oney2 Incom e Cau sality D etection [ J ]. Jou rnal of M onetary Econom ics (1): [13 ] H uang B N Yang C W H u J W S. Causality and Co integration of Stock M arkets Among the U nited States Japan and the Sou th Ch ina Grow th [ 16 ] Johnson R Sun M Soenen L. T he Shenzhen Stock Exchange: an A ssessm ent of the R isk and R eturn [J ]. A sian Business (4): 1 16 [ 17 ] L ee B S Jeon B N. Common Stochastic T rends and P redictab ility of In ternational Stock P rices [ J ]. Jou rnal of the Japanese and In ternational Econom ics (3): [ 18 ] M asih A M M M asih R. D ynam ic L inkages and the P ropagation M echan ism D riving M ajo r In ternational Stock M arkets: A n A nalysis of the P re2and Po st C rash E ras[j ]. Q uarterly R eview of Econom ics and F inance (4): [ 19 ] Poon W P H Fung H G. R ed ch ip s o r H shares: W h ich Ch ina2backed Securities P rocess Info rm ation the fastest [J ]. Journal of M ultinational F inancial M anagem ent (324): [ 20 ] Sun Q Tong W H S. T he Effect of M arket Segm en tation on Stock P rices: T he Ch ina syndrom e [ J ] (12): Journal of Bank ing and F inance [ 21 ] Su C L B ruce F. T he Interdependence of Share M arkets in the D eveloped Econom ies of East A sia [J ]. Pacific2Basin F inance Jou rnal ( 2): [ 22 ] T an J A. Con tagion Effects du ring the A sian F inancial C risis: Som e Evidence from Stock P rice D ata [ C ] PB Pacific Basin W o rk ing Papers Series [23 ] W ang S S J iang L. L ocation of T rade Ow nersh ip R estriction s and M arket Illiqu idity: Exam in ing Ch inese A 2and H 2Shares [J ]. and F inance (6): Journal of Bank ing : (1956 ) ( ) 199

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