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研究生： 歐亞歷
Agren, Jimmy
論文名稱： Financial Contagion and Co-Movement between the Stock Exchanges in the Greater China Area: A Study on the Role of Market Capitalization, Trade Volume, and Turnover
Financial Contagion and Co-Movement between the Stock Exchanges in the Greater China Area: A Study on the Role of Market Capitalization, Trade Volume, and Turnover
指導教授： 楊曉瑩
Yang, Ann-Shawing
學位類別： 碩士
Master
系所名稱： 管理學院 - 國際經營管理研究所碩士班
Institute of International Management (IIMBA--Master)
論文出版年： 2013
畢業學年度： 101
語文別： 英文
論文頁數： 88
外文關鍵詞： Financial contagion, Stock market co-movements, Stock market correlation, Return, Greater China, Mainland China, Hong Kong, Taiwan, Traded volume, Market capitalization, Awareness-Motivation-Capability
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    • This paper is looking at the co-movements between the stock exchanges in the Greater China Area, namely, Hong Kong Exchange, Taiwan Stock Exchange, Shanghai Stock Exchange, and Shenzhen Stock Exchange. The aim is to look at contagion and find possible patters of co-movements during tranquil times and turmoil times by studying three crisis events. Data is collected for the four exchanges using their main indices; daily data is applied for closing prices and volume traded. Multiple regressions are studied to determine the possible relationships between the variables studied. Findings suggest that there is no evidence for market contagion in the area for any of the events studied. Mainly significant co-movements are only found between the two exchanges in the Chinese Mainland.
    While looking at the volume and the pattern of the trading volume, some conclusions can be drawn about the rebalancing theory as a factor contributing to both positive and negative co-movements, these finding are explained from the perspective of the awareness-motivation-capability theory.

    TABLE OF CONTENTS ABSTRACT II ACKNOWLEDGEMENTS III TABLE OF CONTENTS V LIST OF TABLES VIII LIST OF FIGURES X CHAPTER ONE INTRODUCTION 1 1.1 Research Background. 1 1.1.1 Contextual Background. 1 1.2 Research Motivation. 2 1.2.1 The Importance of Studying Contagion. 2 1.2.3 The Importance of Studying the Linkages that Drive Co-Movement and Contagion. 2 1.2.4 The Importance of the Stock Markets of the Greater China Area. 3 1.3 Research Objectives. 3 1.4 Research Gap. 4 1.5 Study Procedure. 6 1.6 Structure of the Study. 7 1.7 Stock Markets in the Greater China Area. 7 1.7.1 Economic Integration within the Greater China Area. 9 1.7.2 Reforms on the Stock Markets in Mainland China and the Effects to Contagion. 10 CHAPTER TWO LITERATURE REVIEW 11 2.1 Introduction. 11 2.2 Studies on Contagion. 11 2.3 The Channels of Co-movement and Contagion. 18 2.3.1 Economic Integration. 19 2.3.2 Financial Liberalization. 20 2.4 Contagion and Emerging Markets versus Developed Markets. 21 2.6 The Relationships between Stock Market Returns, Correlations, Market Capitalization and Trade Volume. 22 2.7 Summary of Hypotheses. 23 2.8 Fundamental Theory. 24 2.8.1 Non-crisis Contingent Financial Contagion: Fundamental Causes Theories. 24 2.8.2 Non-crisis Contingent Financial Contagion: Investors’ Behavior Theories. 25 2.8.3 Awareness – Motivation – Capability (AMC) Perspective. 26 CHAPTER THREE RESEARCH DESIGN AND METHODOLOGY 28 3.1 Study Period and Sampling. 28 3.1.1 Hong Kong Exchange, Hang Seng Index. 30 3.1.2 Taiwan Stock Exchange, Taiex Index. 30 3.1.3 Mainland China Stock Exchanges, Shanghai Composite Index and Shenzhen Composite Index. 30 3.2Variables. 31 3.2.1 Stock Market National Indices, Closing Prices (Return). 31 3.2.2 Stock Market Capitalization. 31 3.2.3 Traded Volume. 31 3.3 Test of the Stationarity of the Data. 33 3.4 Test of the Multicollinearity of the Data. 33 3.4Modeling. 33 3.4.1 Testing for Contagion, Volume Traded as Factor 33 CHAPTER FOUR RESEARCH RESULTS 37 4.1 Data Analysis. 37 4.2 Multicollinearity Test. 47 4.3 Unit Root Tests. 48 4.3 Model Estimation for Analysis. 52 4.3.1 Regression Results for the Full Dataset. 53 4.3.2 Regression Results for the Asian Financial Crisis of 1997. 55 4.3.3 Regression Results for the SARS Crisis of 2003. 60 4.3.4 Regression Results for the U.S. Subprime Mortgage Crisis of 2007. 64 CHAPTER FIVE CONCLUSION AND SUGGESTIONS 70 5.1 Research Conclusion and Discussion. 70 5.2 Research Implications and Suggestions. 76 5.2.1 Managerial Implication. 76 5.2.2 Academic Implication. 77 5.4 Research Limitations and Suggestions for Future Research. 77 REFERENCES 80 Appendix 1:Financial Contagion Defined. 87 Crisis-Contingent Theories 87 Non-Crisis-Contingent Theories 87 Appendix 2: Channels of Contagion 88 LIST OF TABLES Table 1-1 Stock Exchange Indicators 2006-2011 9 Table 2-1 Summary of Selected Empirical Tests of Contagion – Evidence of Crisis-Contingent Contagion 15 Table 2-2 Summary of Selected Empirical Tests of Contagion – No Evidence of Crisis-Contingent Contagion 17 Table 3-1 Summary of Data Characteristics 29 Table 3-2 Number of Trading Days 2011 29 Table 3-3 Summary of Variables 32 Table 4-1 Correlations between the Stock Markets for the Full Sample Period (Daily Data.) 39 Table 4-2 Descriptive Statistics of Sample for HKEX, Hang Seng Index 40 Table 4-3 Descriptive Statistics of Sample for TWSE, Taiex 40 Table 4-4 Descriptive Statistics of Sample for SSE, Shanghai Composite Index 41 Table 4-5 Descriptive Statistics of Sample for SZSE, Shenzhen Composite Index 41 Table 4-6 Yearly Characteristics of the Data Set for HKEX, Hang Seng Index 43 Table 4-7 Yearly Characteristics of the Data Set for TWSE, Taiex 44 Table 4-8 Yearly Characteristics of the Data Set for SSE, Shanghai Composite Index 45 Table 4-9 Yearly Characteristics of the Data Set for SZSE, Shenzhen Composite Index 46 Table 4-10 Variance Inflation Factor (VIF) Test Statistics 47 Table 4-11 ADF Test for Return Data 49 Table 4-12 ADF Test for Market Capitalization Data 50 Table 4-13 ADF Test for Volume Traded Data 51 Table 4-14 Regression Results of Full Dataset, 1994-2012 55 Table 4-15 Regression Results of Asian Financial Crisis of 1997, Pre-Crisis 58 Table 4-16 Regression Results of Asian Financial Crisis of 1997, Post-Crisis 59 Table 4-17 Regression results of SARS Crisis of 2003, Pre-Crisis 62 Table 4-18 Regression Results of SARS Crisis of 2003, Post-Crisis 63 Table 4-19 Regression Results of U.S. Subprime Mortgage Crisis of 2007, Pre-Crisis 65 Table 4-20 Regression Results of U.S. Subprime Mortgage Crisis of 2007, Post-Crisis 66 Table 4-21 Regression Results for First Half of Data Set 1994 - 2003 68 Table 4-22 Regression Results for Second Half of Data Set 2003 - 2012 69 LIST OF FIGURES Figure 1-1. Flow of the study 7 Figure 4-1.Dynamics of the stock market indices for the full period of analysis 38

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