Stock Market Integration and Linkage between China and Its Five Major Trading Partners

• Main Authors: Su-Yuan Lin, 林樹源
• Other Authors: Horng-Jinh Chang
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/61697590864254735069

博士 === 淡江大學 === 管理科學研究所博士班 === 99 === The goal of this study is to examine the linkage among stock markets of China and their five major trading partners. The sample indexes employed in this study including Dow Jones price index, Hang Seng price index, KOSPI index, NEKKEI 225 index, TSE index, Shanghai A share index and Shanzhen A share index. Furthermore, this study uses several tests to explore the relation between stock markets of China and their major trading partners, such as unit root test, cointegration test, causality test, error correction model, impulse response analysis and forecast error variance decomposition. From the empirical results of this study, we find that this study supports the weakly segment theory of McDonald (1973) and Solnik (1974). This implies that the linkages between Chinese stock market and foreign stock markets are weak even now the economic activity and financial market of China are growing rapidly. The major reason is that there still exist several investment barriers in China, reducing this linkage between Chinese stock and foreign stock markets. In our opinion, if China wants to increase the integration with international financial markets, the authority of the China should first consider releasing the investment restrictions, such as capital restriction and investment barrier of foreign investors, to attract more international investors or capitals into the China stock markets and then increase the development degree of China stock market.