The Co-movement Analysis of China Steel Group Stock Prices

[[abstract]]本文研究2008至2014年中鋼集團股（中鋼、中鴻、中鋼結構、中鋼碳素、中聯資源、中宇環保）股價，探討彼此間之連動性。在向量自我迴歸模型分析，發現中鋼結構及中宇環保股價短期受前一期自身股價所影響；而中聯資源股價短期受中宇環保前一期股價及中宇環保短期受中鋼前一期股價所影響。其次，因果關係檢定發現中鋼對中鋼碳素、中宇環保、中聯資源皆具有單向領先關係；而中聯資源對中鋼碳素兩者有雙向回饋關係。最後，預測誤差變異數分解發現中鋼及中鋼碳素對自我解釋能力最高，較不受其他股票影響。本文可供欲投資中鋼集團股的大眾作為投資參考。[[abstract]]The study explores the China Steel Group share prices linkage with each other from 2008 to 2014 In the vector auto-regression analysis we found that both CSSC and CEC’s share prices were affected by their previous period’s own share prices CHC short-term share prices were affected by CEC previous period’s share prices and CEC’s short-term share prices were affected by CSC previous period’s share prices Secondly the causality test found that there is a one-way leading relationship between CSC’s share prices and CSCC CEC CHC prices Also there exists a two-way feedback relationship between CHC and CSCC prices Finally by using forecast error variance decomposition method we found that CSC and CSCC have the highest self-explanatory power This paper provides significant references for the public who are interested in investment in China Steel Group stock price