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Cointegration test for equity market integration: The case of the Great China Economic Area (Mainland China, Hong Kong, and Taiwan), Japan and the United States.

机译：股权市场整合的协整检验：以大中华经济区（中国内地，香港和台湾），日本和美国为例。

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摘要

Previous studies generally define market integration from two different views. Earlier studies investigate market integration from a financial asset pricing perspective, in which national markets are considered to be integrated if securities with the same risk characteristics are priced the same across borders. Another line of research defines market integration from a statistical perspective and markets are considered to be integrated if national stock prices share a common long run equilibrium relationship. This research adopts the latter view and uses Johansen's (1988, 1991) cointegration test as the main methodology to empirically test equity market integration in the Great China Economic Area, including Mainland China, Hong Kong, and Taiwan. Their interrelationship with two well-developed markets, Japan and the United States, are also examined.;Weekly country equity market indices from Morgan Stanley Capital International are used for the empirical tests. The sample period covers January 1993 to July 1999. Cointegration tests are applied to nineteen different combinations of stock markets under study. The test results consistently indicate that Chinese, Hong Kong, and Taiwanese equity markets are not cointegrated. Additionally, they are not cointegrated with either Japanese or the US market, implying that these markets are not integrated at bivariate and multivariate levels. Therefore, investors can enjoy long run international diversification benefits by investing across these Asian markets. Since cointegration implies error correction representation of the variables, the insignificant results from cointegration tests also imply the weak form efficiency in the markets under study. This finding is further supported by the results from the Granger causality tests and cross-correlation function analysis, where I find that the intertemporal relationships between these markets are mainly contemporaneous with no lead or lag effect. Thus, past price information in one market can not be used to help predict future prices in another market.
机译：先前的研究通常从两种不同的观点来定义市场整合。较早的研究从金融资产定价的角度研究了市场整合，在这种情况下，如果具有相同风险特征的证券跨境定价相同，则认为国家市场已经整合。另一研究领域是从统计角度定义市场整合，如果国家股票价格具有共同的长期均衡关系，则认为市场是整合的。本研究采用后一种观点，并以Johansen（1988，1991）的协整检验为主要方法，对包括中国大陆，香港和台湾在内的大中华经济区的股票市场整合进行实证检验。还检查了它们与两个发达市场（日本和美国）的相互关系。；使用摩根士丹利资本国际的每周国家股票市场指数进行了经验检验。样本期间为1993年1月至1999年7月。协整检验适用于研究中的19种不同的股票市场组合。测试结果始终表明，中国，香港和台湾的股票市场不是协整的。此外，它们未与日本或美国市场整合，这意味着这些市场未在双变量和多变量水平上进行整合。因此，通过在这些亚洲市场进行投资，投资者可以享受长期的国际多元化利益。因为协整意味着变量的误差校正表示，所以协整检验的微不足道的结果也暗示了所研究市场的形式效率较弱。格兰杰因果关系检验和互相关函数分析的结果进一步支持了这一发现，在这些发现中，我发现这些市场之间的跨时关系主要是同时发生的，没有超前或滞后效应。因此，一个市场中的过去价格信息不能用于帮助预测另一市场中的未来价格。

著录项

  • 作者

    Cheng, Hwahsin.;

  • 作者单位

    The George Washington University.;

  • 授予单位 The George Washington University.;
  • 学科 Business Administration General.;Economics Finance.
  • 学位 Ph.D.
  • 年度 2000
  • 页码 227 p.
  • 总页数 227
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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