An Empirical Study on the Common Volatility and Volatility Spillovers among Taiwan,Hong-Kong and Mainland China Stock Markets : The Moderating Effects of Foreign Capital and Exchange Rates

• Main Authors: Wu, Yi-Chen, 吳宜珍
• Other Authors: LIU, HSIANG-HSI
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/30853677954742319154

碩士 === 國立臺北大學 === 國際企業研究所 === 96 === The financial system of the Taiwan stock market has integrated fast with other countries in recent years. This is also enlarges the high linkages effects between Taiwan and other international financial markets. Since Taiwan, Mainland China and Hong Kong are located in Asia-Pacific area, there is an increase in bidirectional investment and trade from these three stock markets. This enhances the interactions among these international markets. It also drives the co-movement effects among the Taiwan, Hong Kong and Mainland China stock markets. Moreover, because of the non-synchronous trading, these three stock markets may have the common volatility and volatility spillover effects which are inspired by important information. According to past references, foreign capital and exchange rates play important roles as moderating factors in these stock markets. This study tries to establish the VEC-GJR GARCH-M model to prove the common volatility and volatility spillover effects among Taiwan, Hong Kong and Mainland China stock markets. Further, it also proves the moderating effects by incorporating foreign capital and exchange rates into the model. In these six models, we estimated it had found that the Taiwan and Hong Kong markets have a two-way causality relationship. The error correction term of Taiwan and Hong Kong almost proves negative and the risk premium appearing positive in China market. Moreover, foreign capital and exchange rates prove important moderating effects to conditional variance. In brief, the information based on the empirical results can provide investment suggestions to investors and policy implications to government agency.