The Financial Market Linkage among Taiwan, Hong Kong and Mainland China

• Main Authors: Kai-ting Chan, 詹凱婷
• Other Authors: Chien-Chung Nieh
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/17907885797419756572

碩士 === 淡江大學 === 財務金融學系 === 89 === Recent years, the outstanding performance of the Asian economic has attracted many Asian and Non-Asian investors. Even though Asian economic had experienced a severe economic crisis in the year of 1997, nevertheless, it is slowly recovering. In Asia, both Taiwan and China are trying to launch their own financial centers similar to the one already established in Hong Kong、Tokyo and Singapore. The competitiveness in launching the Asian financial center has led us wondered of which of the financial center can be the best representation in the Greater China area. Moreover, this will also be our focal point discuss in this paper. To avoid any structure changes and to seek for stability and consistency in the paper, variables selected in this research will be taken after the Asian economic crisis starting from July 1st, 1997 onward. Stocks、foreign exchange and interest rate indexes of the Mainland China、Taiwan and Hong Kong will be our key variables used in the research. We shall employ different tests; on ADF unit root、Johansen cointegration、Granger causality、impulse response and variance decomposition, to discuss the long and short term interaction and performances of our key variables between three different areas mentioned above. Conclusions are as following: (1) Stock markets between the Mainland、Taiwan and Hong Kong do not possess a long-term equilibrium relationship. However, from Granger causality test result, we can conclude that Hong Kong stock index is the leading index among the three areas. (2) On the foreign exchange markets, once again, all three markets also do not hold a long-term equilibrium relationship. Nevertheless, the empirical results are not significant according to the impulse response analysis and forecast error of the variance decomposition test. In additionally, Granger causality test indicates that Taiwanese NT dollars versus US dollar seems to be in better position than China and Hong Kong. (3) According to the empirical test on Johansen cointegration, interest rate markets between these three areas do possess a long-term equilibrium relationship. Furthermore, the Granger causality test、impulse response analysis and forecast error of the various decomposition test all indicate that the Chinese interest rate market exist as the most powerful index among the three areas. From the above conclusion we can conclude that there are relative advantages for these three areas in the Greater China districts, nevertheless, neither one of these area does possesses an absolute predominance in their advantages.