本研究主要根據Engle和Granger (1987) 提出的誤差修正模型(Vector error correction model)與Sims (1980) 的向量自我迴歸模型(Vector autoregression model,VAR)對於中國六家上市公司於上海、香港與紐約交易所進行價格發現的實證與分析。
實證結果發現三地的股價存在長期的共整合關係，且根據向量誤差修正模型發現上海交易所與國外交易所股價，除兗州煤業外，其它都顯示出上海交易所較有價格領先效果，而比較香港市場與紐約市場，看到大致上是雙向回饋的情況。
短期關係中，向量自我迴歸模型亦或是Granger因果關係檢定都顯示出上海與香港交易所較具備資訊領先功能，透過衝擊反應分析亦可看到面對短期資訊擾動，位於亞洲的上海交易所與香港交易所資訊傳遞的速度較快，反應時間較短。

This paper examines the price discovery of six China listed companies in Shanghai, Hong Kong, and New York stock exchange with Engle and Granger’s (1987) Vector Error Correction Model and Sims’ (1980) Vector Autoregression Model, VAR.
The research result shows a long-term stable equilibrium among the three exchanges. According to the empirical tests of Vector Error Correction Model, the price discoveries in Shanghai exchange, except for Yanzhou Coal Mining Company, are higher than those in the other exchanges. In respect to the prices in Hong Kong and New York stock exchanges, they make bi-directional contribution to the long-term equilibrium price.
With regard to short-term relationship, both Vector Autoregression model and Granger causality reveal that Shanghai and Hong Kong exchanges take the lead in price discovery. Impulse response function also shows that when compared with the exchanges in New York, the exchanges in Shanghai and Hong Kong have shorter span of time for information delivery and faster reaction dealing with short-term information disturbance.

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