The analysis of China concept stock prices and stock indices in Taiwan and China

[[abstract]]本文研究2009年9月至2014年8月間，中國概念股股價、上海綜合指數與台灣加權股價指數彼此之間是否具有相互關連性。採用單根檢定、向量自我迴歸模型、Granger因果關係、預測誤差變異數分解及衝擊反應分析。實證經向量自我迴歸模型發現，鴻海科技集團與上海綜合指數為負向關係，相反的，建大輪胎公司則為正向關係，在預測變異數分解中也可發現，中概股股價指數大都可由台灣加權股價指數來解釋，本研究顯示中國概念股股價指數與與兩岸股價指數均有明顯的連動關係。[[abstract]]This study investigated whether the China Concepts Stock (CCS) index Shanghai Stock Exchange (SSE) Composite Index and Taiwan Capitalization Weighted Stock Index (TAIEX) from September 2009 to August 2014 exhibited a mutual relationship In addition the unit root test vector autoregression model Granger causality test forecast error variance decomposition and impulse response analysis were adopted to perform this investigation Through the vector autoregression model we verified that the stock index of Foxconn Technology Group demonstrated a negative relationship with the SSE Composite Index However the stock index of Kenda Rubber Industrial Company displayed a positive relationship with the SSE Composite Index Using forecast error variance decomposition we also determined that a majority of variance of the CCS index can be explained using the TAIEX This study demonstrated that the CCS index exhibits a relationship with the SSE Composite Index and the TAIE