碩士 / 嶺東科技大學 / 財務金融研究所 / 95 / In this paper, we examine the cointegration relationship A index and B index in China’s stock market including Shanghai and Shenzhen stock market in the presence of structural change. The empirical findings show no matter consider the structural changes that all stock indexes in both markets are stationary under first difference, but volume of trade at level are stationary. From the results of Johansen cointegration test, not think of structural change between A an B index in both markets have not cointegration relationship. At that think of structural change in the cointegration relationship between A an B index in both markets consanguinity. So must think of structural change. While no Granger causality can be identified, whether or not think of structural change significant feedback relationship between Shanghai B and Shenzhen B stock. They are no significant feedback relationship between Shanghai A stock, Shenzhen A stock and Shenzhen B stock. Think of structural change significant feedback relationship between Shenzhen A stock and Shenzhen B stock, Shanghai B and Shenzhen A stock. So they are no significant feedback relationship between Shanghai and Shenzhen stock market.
| Identifer | oai:union.ndltd.org:TW/095LTC00304018 |
| Date | January 2007 |
| Creators | Sin-Cyuan Chen, 陳信全 |
| Contributors | Hung-Gay Fung, Yung-Lieh Yang, 馮鴻璣, 楊永列 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 48 |
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