Dynamic Transmission of the China-concept Stock Prices

[[abstract]]本文研究2011年1月至2014年4月期間，中國概念股股價之鴻海、寶成工業、巨大機械與永豐餘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、因果關係、預測誤差變異數分解與衝擊反應分析。實證經向量自我迴歸模型發現，鴻海指數與前一期自身為正向關係，巨大機械指數與前一期自身為負向關係，永豐餘指數與前一期鴻海指數為顯著正向關係，與前一期自身為負向關係，寶成工業無顯著影響的相互關係。在預測變異數分解中也可發現，寶成工業指數、巨大機械指數、永豐餘指數均受本身與鴻海指數的影響，鴻海指數對自我解釋能力強烈則受其他指數影響較小。本研究顯示出中國概念股股價有明顯的連動關係。[[abstract]]The purpose of this study was to investigate the correlation of stock price index among China concepts stocks Hon Hai Pou Chen Corporation (PCC) Giant and YFY during January of 2011 to April of 2014 unit root test vector auto regression granger causality test forecast error variance decomposition and impulse response analysis were applied It was found out by vector auto regression that index of Hon Hai presents a positive relationship with itself previous period Giant index presents a negative relationship with itself previous period YFY index presents a negative relationship with itself previous period and there is an obvious positive relationship between YFY index and previous period of Hon Hai There isn’t notable corelation in PCC The result indicated by Forecast Error Variance Decomposition that index of PCC Giant and YCC are all affected by themselves and Hon Hai index however Hon Hai is less affected by other indexes This study shows that there are significant relationship among every variable in the China concepts stock