本文目的在探討中國與美國股票市場的共移性。利用2005 年至2010 年的資料，
建立中國股票在紐約證券交易所的美國存託憑證投資組合及美國股票相對應產
業的投資組合，並計算它們二者間在日間以及夜間的報酬。這個分析結果顯示，
中國股市和美國股市會因為不同的市場資訊和影響規模，而有一定程度的相關性。
此外，透過建立二階段潛在變數模型，在文中進一步推論出競爭性衝擊是影響兩
國間股票市場共移性的主因。然而，市場對人民幣與美元匯率、美國國庫券利率
報酬變化的衝擊有落後效果。而此結果可以為國際投資組合的風險分散提供更細
部的訊息。 / This paper investigates stock market co-movements betweenthe the U.S. and China.
We construct daytime and overnight returns for a portfolio of Chinese stocks using their
NYSE-traded ADRs and an industry-matched portfolio of American stocks between
2005 and 2010. The results show that Chinese stock market is linked to American stock
market through dierent sources and magnitudes of shocks. The analysis, based on the
two-stage latent variables regression, further indicates that the market correlations be-
tween China and the U.S. mostly come from competitive shocks. However, competitive
shocks of the Yuan/Dollar foreign exchange rate and Treasury bill returns have lagged
eects on the markets. The classications of shocks into competitive and global ones
suggest a ner information for international risk diversication.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0099351002 |
| Creators | 張瑀宸 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 英文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
Page generated in 0.0017 seconds