중국과 홍콩 주식시장간의 변동성의 선도지연관계에 대한 연구

This study is to identify the lead-lag relationship through bivariate conditional mean and conditional volatility spillover effects between daily data of Hong Kong(HK) and Chinese A(SHA & SZA), B(SHB & SZB) stock market using Hurst, Mandelbrot & Lo's R/S analysis, Granger & Joyeux's ARFIMA, and a combination of Baillie's FIVECM and Engle & Kroner's Full BEKK(1,1)-GARCH model. The results of this study can be outlined as follows; First, for cointegration residuals, we did't find autocorrelations and long memory using Hurst, Mandelbrot and Lo's R/S analysis and there wasn't a long memory in ARFIMA among HK-SHA, SHB-SHA, SHB-HK, HK-SZA, SZB-SZA and SZB-HK markets as well. Second, in FIVECM and Full BEKK(1,1)-GARCH model, the SHA stock market made a partial adjustment when it drifted away from long-run equilibrium with HK or SHB stock markets. And the SZA stock market parrtially adjusted disequilibrium conditions with the HK or SZB stock markets. Third, the volatility impacts of the SHB market played the most influential role and were transmitted to the volatility of the SHA and HK markets among the three markets. And those of the SZB market were to the SZA and HK markets. Fourth, the price discovery process of the SHA and SZA markets relative to B share markets is more efficient than their price discovery process relative to the HR stock market. Fifth, as there was the existence of a bidirectional conditional mean and volatility spillover effects between the SHB and the SHA stock markets, then the SHB(SHA) led the SHA(SHB) stock markets. And there was a unidirectional conditional mean spillover effects from the SHB to the HK stock markets, which the SHB led the HK stock markets, but a bidirectional conditional volatility spillover effects between the SHB and the HK stock markets, indicating that the SHB(HK) led the HK(SHB) stock markets. There are a bidirectional conditional volatility spillover effects between SZB-SZA and between SZB-HK, implying that SZB(SZA) led SZA(SZB) and SZB(HK) led HK(SZB). Therefore, as there was the existence of conditional mean and volatility spillover effects, this paper showed various lead-lag relationships between China and Hong Kong stock markets. Under Fama's weak efficient market hypothesis that financial markets are informationally efficient, or that stock prices already reflect all known information, we confirmed that Chinese markets were moving closer to becoming efficient more and more during the sample period in this paper.