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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/73944


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/73944


    Title: An empirical study of the asymmetric cointegration relationships among the Chinese stock markets
    Authors: Shen, Chung-Hua;Chen, Chien-Fu;Chen, Li-Hsueh
    沈中華
    Contributors: 金融系
    Keywords: Corporate Governance;Earnings Management;Emerging Market;Indexation;Investor Protection;Leverage Effect;Size Effect;Turning Point
    Date: 2007
    Issue Date: 2015-03-23 18:06:49 (UTC+8)
    Abstract: The Enders and Siklos asymmetric cointegration test is employed to examine the long-run asymmetric equilibrium relationships between the Chinese Shanghai and Shenzhen stock markets. Three samples are adopted, which are the whole sample (October 1992 to September 2002); the first subsample before B shares were opened up to the Chinese public (October 1992 to February 2001); and the second subsample after B shares were opened up (February 2001 to September 2002). The estimated results are as follows. First, when the conventional Engle–Granger symmetric cointegration test is used, only the A shares in Shanghai and Shenghen stock exchange market are cointegrated when using the whole sample and the first subsample. However, with the Enders–Siklos M-TAR asymmetric cointegration test, Shenzhen A and B shares stock prices have an asymmetric cointegration relationship after B shares were open, suggesting that openness increases the market efficiency. Furthermore, the two A shares in Shanghai and Shenzhen stock exchanges also have an asymmetric cointegration relationship in the whole sample and the first subsample, implying that although the asymmetric relationship is crucial, it has long been neglected. Finally, it is found that the adjustment speed of Shanghai A shares is faster when deviation from the long-run equilibrium is positive than when it is negative.
    Relation: Applied Economics, 39(11), 1433-1445
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1080/00036840600606302
    DOI: 10.1080/00036840600606302
    Appears in Collections:[金融學系] 期刊論文

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