Ch inese Journal of M anagem ent

2 2 2005 3 Ch inese Journal of M anagem ent V o l. 2 N o. 2 M ar. 2005 H ( 361005) : B 1994 1 2003 10 3 Johan sen H H B Granger H ; H H : ; ; ; : F830. 91 : A : 1672-884g (2005) 02-0190- 10 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 : 2004-10- 18 : (7997005 70372035) 190

H Bailey 20 (1994) Johnson (1994) H uang (2000) 90 H (co integration) (2002) : H 10 (blue ch ip ) H 2002 2 33 78% H 20 90 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) 1997 4 H T an (1998) 1995 1998 8 B H? 2003 Engle (contagion effect) Baig (1999) Granger 1995 1998 5 B (co2movem ent) Su (2003) F rancisco (2003) H Chang (2001) 1997 1998 H 2 2. 1 191

2 2 2005 3 H 9 30 3 00 (W ang 2003) 1994 1 3 2003 10 31 HCC I HCE I H SH I 3 Chen (2002) 2356 1997 1 897 2 2001 2 B 783 3 676 3 3 H 3. 1 Engle (1987) H B H H 2001 B H H 3 : 1 ; 2 D ickey (1979 1981) AD F B ; 3 B (A ugm ented D ickey- Fuller T est) AD F 1997 x t = Θ0 + Ξt + Θx t- 1 + 6 n i x t- i + Εt (1) 6 8 x t t H 9 10 10 ; x t- 1 t - 1 ; x t t ; Ξ t ; Θ0 ; i ; Εt 2001 2 19 B AD F H 0: Θ= 0; H 1: Θ< 0 Σ 1997 7 2 1997 12 31 t Σ D F 2001 1 2 2001 2 28 Engle 1 1994 1 (1987) 3 1997 6 30 2 1998 1 2 2000 12 29 3 2001 1997 6 16 1993 1 4 1997 6 16 3 1 2003 10 31 x t x t= x t- x t- 1 2. 2 (stationary p rocess) x t (unit roo t) H x t x t 3 : ; ; 10 00 4 00 A IC 192 i= 1

H t H 0 x t (2) : x t ; H 0 X t = # 1 X t- 1 + # 2 X t- 2 + + # 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 1. 516 (Θ0 0) - 7. 838 3 3 3 (Θ0 Ξ) Α Β r 1 HCE I - 2. 854 (Θ0 0) - 8. 380 3 3 3 (Θ0 Ξ) X t SH I - 2. 773 (Θ0 Ξ) - 7. 694 3 3 3 (0 0) Β X t 0 HCC I - 2. 987 (Θ0 Ξ) - 12. 110 3 3 3 (0 0) 2 HCE I - 2. 687 (Θ0 0) - 9. 989 3 3 3 (0 0) SH I - 2. 018 (Θ0 Ξ) - 11. 260 3 3 3 (Θ0 0) HCC I - 2. 114 (Θ0 0) - 12. 122 3 3 3 (0 0) 3 HCE I 1. 736 (0 0) - 12. 379 3 3 3 (Θ0 Ξ) SH I - 1. 254 (0 0) - 11. 526 3 3 3 (0 0) : 1. AD F 2. (Θ0 Ξ) Θ0 Ξ Κi i ; T (1) (Θ0 Ξ) r (Θ0 0) (0 0) 3. 3 3 3 1% 1 1 2 n - 1 n 3 H 2 1% 2 5% 1% ( ) 0. 030 639 40. 189 420 29. 68 35. 65 N one 3 3 1 0. 010 870 12. 369 420 15. 41 20. 04 A t mo st 1 3. 2 0. 002 903 2. 598 729 3. 76 6. 65 A t mo st 2 ( 0. 018 578 24. 541 630 24. 31 29. 75 N one 3 ) 2 0. 011 780 9. 857 952 12. 53 16. 31 A t mo st 1 0. 000 740 0. 579 675 3. 84 6. 51 A t mo st 2 Johan sen 0. 017 104 44. 980 710 34. 55 40. 49 N one 3 3 3 (1988 1990) 3 0. 014 652 21. 587 410 18. 17 23. 46 A t mo st 1 3 H 0. 001 158 1. 571 660 3. 74 6. 40 A t mo st 2 X t t : 1. 3 3 3 10% 5% H (3 1) 2. A IC 1 2 2 k 2 3 X t = u t + A 1X t- 1 + A 2X t- 1 + + 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

2 2 2005 3 2 1 6 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 ) ; 3 2 1 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) 3. 4. 1 X it = Λit + Β Z t- 1 + 6 m a i X 1 t- i + 6 m bi X 2 t- i + t= 1 t= 1 194 ; 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

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- 1 + 7 2Εt+ s- 2 + + 7 s- 1 Εt+ 1(9) EM S = 8 + 7 18 7 (M ean Square E rro rm SE) 1 + + 7 s- 187 s- 1 = PP + 7 1PP 7 1 + + 7 s- 1PP 7 s- 1 = H 3 Yt (3 1) 6 3 (P jp j + 7 1P jp j7 1 + + 7 s- 1P jp j7 s- 1) (10) j= 1 p P j P j j Yt = B + A 1Yt- 1 + A 2Yt- 2 + + A p Yt- p + Εt (6) s A i 3 3 ; B ; Εt 3 8 Yt (6) s Yt = C + 6 7 sεt- s (7) s= 0 (10) 7 ; C (6) A i B 8 P 8 = P P (7) 4 4 1 g% 2 g% 3 g% HCC I HCE I SH I HCC I HCE I SH I HCC I HCE I SH I 4 99. 236 0. 557 0. 207 99. 953 0. 009 0. 039 98. 387 1. 488 0. 126 HCC I 10 99. 475 0. 331 0. 194 99. 792 0. 163 0. 045 97. 467 2. 381 0. 152 20 99. 409 0. 444 0. 147 99. 299 0. 671 0. 029 96. 564 3. 096 0. 340 30 98. 321 1. 559 0. 121 98. 653 1. 312 0. 035 95. 707 3. 708 0. 585 50 93. 023 6. 856 0. 121 97. 277 2. 570 0. 153 94. 091 4. 853 1. 055 4 51. 009 48. 972 0. 019 18. 490 81. 474 0. 036 34. 717 65. 184 0. 099 HCE I 10 51. 750 48. 230 0. 020 26. 529 73. 428 0. 043 32. 786 67. 130 0. 084 20 52. 410 47. 422 0. 168 32. 844 67. 076 0. 080 32. 873 66. 694 0. 433 30 52. 890 46. 655 0. 455 36. 771 63. 082 0. 146 33. 032 65. 591 1. 376 50 53. 592 45. 167 1. 242 41. 291 58. 428 0. 281 32. 546 63. 116 4. 339 4 1. 365 0. 049 98. 586 2. 355 0. 405 97. 240 2. 196 1. 438 96. 366 SH I 10 1. 645 0. 113 98. 242 4. 580 1. 026 94. 394 4. 134 1. 166 94. 700 20 2. 177 0. 281 97. 542 7. 184 2. 317 90. 499 6. 087 0. 899 93. 015 30 2. 761 0. 561 96. 678 9. 548 3. 678 86. 774 7. 819 0. 711 91. 470 50 4. 002 1. 595 94. 403 13. 724 6. 089 80. 187 10. 890 0. 505 88. 605 195

2 2 2005 3 (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 1 2 3 3 H 6. 1% 0. 5% s 20 10% 1 1 H H 1 Granger 01016 01013 01033 3 1 (4) H 1 01035 H H 50% H 1 H H 01014 2 01016 3 2 3 H H H 3 4 1815% H 1 4 H 51% 40% H H 3 H 3. 4. 2 i j 2 30% H 1 H 1 Granger 1 01035 0107 H 2 3 01014 2 H 196

H 20 H (16 ) H H 2 H H 3 3 1 16 H 0102 2 H H 2 0107 01013 (a)hcc I 3 1 (b)hce I 3 1 (c) SH I 3 1 1 1 (a)hcc I 3 1 (b)hce I 3 1 (c) SH I 3 1 2 2 (a)hcc I 3 1 (b)hce I 3 1 (c) SH I 3 1 3 3 197

2 2 2005 3 01013 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 4 4. 1 B 1994 1 3 1997 6 27 1998 1 2 2000 12 29 2001 3 1 2003 10 31 3 H (1) H 4. 2 H Johansen H 3 H B B H Granger H H (2) H B H B H CEPA 198

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