A Study on Co-integration and Causality among HongKong Red Chips, H-Shares and Mainland Stock Market
不同国家或地区资本市场之间的联动关系通常受到重大事件的影响而发生某些根本性变化。以东南亚金融危机和 B股对境内投资者开放两个事件为转折点 ,将 1 994年 1月～2 0 0 3年 1 0月期间分为 3个阶段 ,运用 Johansen多变量协整关系检验对香港红筹股、H股和内地股市三者之间的协整关系进行了实证研究 ,结果发现红筹股、H股和内地股市之间存在着长期稳定的协整关系 ,这一均衡关系在 B股开放之后进一步增强。利用基于向量误差修正模型的Granger因果关系检验 ,发现红筹股的走势始终是内地股市波动的“风向标”,但 H股与内地股市却无明显关联 ;在金融危机之前 ,红筹股先行于 H股 ,但在金融危机之后 ,红筹股对 H股的先行作用消失。最后 ,应用预测方差分解和脉冲响应函数的实证方法从另一角度再度证实了上述结论Cointegration among different capital markets is usually affected and changed by some significant events. According to the two turning points of the capital markets in China, Southeastern Financial Crisis and the opening of B-Shares to the mainland investors, this paper has examined the co-integrative relationship among HongKong Red Chips, H shares and the mainland stock market of the three sub periods divided from 3 July 1994 to 31 October 2003 by using Johansen Multivariate Co-integration Test. It was turned out that there has existed long-term stable co-integration relationship among Red Chips, H Shares and the mainland stock market, and such co-integration has been strengthened after the opening of B Shares. The causality by using Granger Causality Test was tested based on Vector Error Correction Model. It was seen that the trend of Red chips has been the key indicator of the fluctuation of the mainland market but there is no the relation between H-Shares and the mainland stock market. From Granger Causality Test ,it also was indicated that Red Chips plays a leading role in the movement of H Shares, but the role has disappeared after Financial Crisis. The above conclusions were again proved by the results of Forecast Variance Decomposition and Impulse Response Function.