|Abstract: ||摘要 近年來，中國大陸資本市場愈來愈邁向國際化及自由化，其經濟活動與香港也更加密切，港股投資人需注意中國經濟發展與政策之變化，又中國境內A股與B股投資者，不能忽視中資企業在香港股市中的表現，因此探討A股、B股與紅籌股、國企股間共移性以及報酬與波動之傳導效果乃成為重要之研究課題。 本文旨在探討上海、深圳個別交易所內的A股與B股市場報酬率與波動外溢效果，以及波動不對稱與風險溢酬效果，並探討重大事件、紅籌股與國企股介入之影響。研究期間自2001年2月19日至2007年3月31日，資料包含上海及深圳證券交易所A股及B股指數，恆生香港中資企業指數與恆生中國企業指數之日資料，建構VEC-GJR GARCH-M模型來瞭解中國股市與香港中資類股間之關聯性，以提供投資者價格發現、避險與套利之功能。 實證模型分為五種模式，模式一為A股與B股互動之基本模式；模式二為模式一考慮重大事件之影響；模式三為納入紅籌股前期報酬與波動於模式二中，模式四為納入國企股前期報酬與波動於模式二中，以比較紅籌股與國企股何者對中國股市較具影響力；最後，模式五分別為港滬、港深四市場關聯性探討，以對中國與香港中資類股互動有完整之分析。 實證結果發現： 一、依ADF單根檢定發現各市場日報酬率為穩定序列，為相同I(1)之整合皆次，依Johansen共整合檢定發現滬深各別A股與B股兩市場間，以及滬深A股、B股與紅籌股、國企股四市場間存在共移現象，代表該些市場間具有長期均衡關係。 二、A股與B股報酬率均受自身報酬率之影響，且具有風險溢酬效果；上海股市中A股對資訊的反應較B股快速，深圳股市則為B股反應較A股快速；滬深兩地股市波動均由B股傳至A股，報酬率外溢方面在各模式中有不同結果。 三、紅籌股外生介入時報酬率能預測滬深A股與B股，但內生模式時報酬率則受B股影響；國企股不論外生介入或內生模式均能預測滬深A股，並與B股具報酬率相互外溢效果，代表香港中資類股中，國企股對中國股市較具價格發現之功能。 四、引進合格境外投資者投資A股會降低A股與B股之波動性與共變異；開放國外戰略投資者對A股與B股之報酬與波動均正向之影響。|
Abstract The capital market of China has become more and more internationalization and liberalization. The economic interaction between China and Hong Kong are getting closely related. Investors of Hong Kong stock market must notice the economic and policy changes in China, the investors of China stock market can’t ignore the tendency of the China-backed securities as well. Therefore, the purpose of this study is to investigate the returns and volatility spillover effect, volatility asymmetry and risk premium effect between A shares and B shares on China stock market, and to find out the impact of main events, red chips and H shares to the market. This study uses the daily return of the price index of the A shares and B shares on the stock exchanges of Shanghai and Shenzhen, and the HSCCI and HSCEI on the stock exchange of Hong Kong. This study integrates the vector error correction model (VECM) and the GJR GARCH in mean model into the VECM-GJR GARCH-M model to investigate the relationship between the China stock markets and the Hong Kong China-backed securities. It provides information of the price discovery, hedging and arbitrage opportunities to investors. There are five modes in this study. The first mode is to specify two basic models to realize the relationship between A shares and B shares. The second mode we modify the first mode to investigate how main events intervening in the A shares and B shares. The third and forth modes modify the second mode and to detect how the red chips and H shares intervening in the A shares and B shares respectively. Finally, in order to understand the relationship between these stock markets, in fifth mode, we specified two models to realize the relationship between red chips, H shares, Shanghai A shares, B shares and Shenzhen A shares and B shares, respectively. The results of this study are as follows. First, ADF unit root test shows that the return of each stock are I(1), and the series of return rate of each indexes are stable. Johansen co-integration test also indicates that long-run equilibrium relationships between A shares and B shares, and among A shares, B shares, red chips and H shares exist. Second, both A shares and B shares return rate is significantly affected by its previous period, and each stock markets exist risk premium effect. As for the reaction to information, A shares is faster than B shares in Shanghai, however, the situation is contrary in Shenzhen. Both Shanghai and Shenzhen B shares have volatility spillover effect to A shares. The results of returns’ spillover effect are different in each mode. Third, in the third mode, red chips can forecast the return rate of A shares and B shares but return rate of itself is influenced by B shares in fifth mode. H shares can forecast the return rate of A shares and B shares in both forth and fifth modes, besides, H shares and B shares have returns spillover effect to each other. It means that H shares on China stock markets have more influence than red chips. Forth, the QFII invest A shares decrease the degree of volatility and co-variation of A shares and B shares. Open up A shares to the foreign strategy investors increase the returns and volatility of the A shares and B shares.