중국 주식시장 수익률 및 변동성의 전이효과 연구

Abstract

Abstract

As China's economic rapid development, the Chinese market attracted so many attention and interest of investors in the world. As a very young emerging markets, China's stock markets experienced multiple changes from a closed market to a gradual opening markets, and this changes attracted so many researchers. With their studies China’s stock market was relatively independent .And most of the papers through long-term movement to research the linkage between chinese markets and oversea markets. But This work used generalized forecast error variance decomposition model to analyze the short-term movement of spillover phenomena of and stock return and volatility in Chinese markets and oversea markets . As a result, important findings were identified as follows. First , We confirmed the analysis of the Chinese stock market in entire period was very independent relative to the Hong Kong, Taiwan, and the United States stock markets. And there have 19% of total spillover effects in the 4 markets . However, In the case of China there was only 4.1%. Meanwhile, a total of volatility spillover effects for the entire period displayed by 6.7% in the 4 markets. And China was only 0.4% in them. Secondly, The Spillover effects of China's stock market also rose sharply. But the spillover effects of return from others below 10% levels until 2006. The spillover effects of return from others to rise sharply in 2007 and increased to 40% after 2010. The other three countries were also constantly increasing spillover effects, which means the synchronization of the global financial markets. And we can confirmed China as well as being strongly blend in the global financial markets after the latter half of the twentieth century. Thirdly, The spillover effects are inversely related to the stock market since 2007 and China also showed similar phenomena. When Hong Kong, Taiwan, and the United States markets’s price in high level is, the spillover effects were reduced , and in the recession the spillover was increased. In the case of China the inverse although not observed until 2006, since 2007, the surge of spillover effects and market effects of the inverse transition was observed. Fourthly, China's stock market impact on other markets was a great passive than the market impact from other markets. In other words, for the net spillover of return showed minus (-) value in most of the period and show the spillover effects from others was overwhelming the spillover to others. That’s showed China is rapidly increasing its influence in the real economy, but in the advanced financial market, its still staying in the lower level . Fifthly, China's stock market with Hong Kong, Taiwan, and the United States markets in order to receive the strong linkage and get a lot of influence from the three markets. For the Pair-net spillover effects between two countries, especially Hong Kong and China had a lot of spillover effects increases were much higher than the 10% . In Taiwan and China the pair-net spillover effect near 10%. The spillover effects of the US and China was increased, but it still much lower compared to the situation of Hong Kong and Taiwan . From this, we can inferred the globalization of China stock market is still staying in the indirect linkages level which through the Greater China markets. This study confirmed the Chinese stock market is opening and the trend toward globalization though analysis that focused on the Chinese market, analyzing the spillover effects of Hong Kong, Taiwan, and the U.S. stock market between the Chinese stock market . China's stock market has increasing the linkage with the global markets day by day. The results of this study will be usefully information for individuals and institutions to invest in China, and the information that is useful to policy-makers in this area.

Key-words : Stock markets , Spillover Effects, China, Hong Kong, Taiwan