碩士 / 淡江大學 / 財務金融學系碩士在職專班 / 104 / In November 2014, the Shanghai-Hong Kong Stock Connect program connecting the Shanghai Stock Exchange and the Hong Kong Stock Exchange was launched as a part of mainland China''s financial market reform efforts. This thesis evaluates whether or not positive feedback trading behavior existed in Hong Kong''s Hang Seng Index and China''s SSE A-share Index prior to the launching of the Shanghai-Hong Kong Stock Connect program, and whether the Shanghai-Hong Kong Stock Connect program has had the effect of increasing positive feedback trading using the data on Hong Kong''s Hang Seng Index and China''s SSE A-share Index retrieved from the period of January 1992 to December 2015 on Taiwan Economic Journal (TEJ) database..
Empirical analysis using the generalized autoregressive conditional heteroscedasticity (GARCH) model showed that the Shanghai-Hong Kong Stock Connect program did not result in a significant increase of positive feedback trading in China''s A-share stock market, but had a significant effect on the increasing of positive feedback trading in Hong Kong''s stock market. The Hong Kong stock market reacted more significantly to the Shanghai-Hong Kong Stock Connect program than China''s A-share stock market. The primary reason for this is that China''s SSE A-share Index is much more heavily influenced by the government policy of mainland China, whereas the Hong Kong stock market is a much more liberal, open market.
| Identifer | oai:union.ndltd.org:TW/104TKU05304021 |
| Date | January 2016 |
| Creators | Chi-Nan Ou, 歐奇男 |
| Contributors | Ming-Chih Lee, Yen-Hsien Lee, 李命志, 李彥賢 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 41 |
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