중화권 주식시장의 정보전이효과에 관한 연구 -중국 주식시장 지분분할개혁 전후를 중심으로-
The Effects of Information Spreading in Chinese Stock Markets: Focusing on the Changes Before and After Stock Split Reform
황인섭(전북대학교); 이용철(전북대학교)
28권 2호, 759~783쪽
초록
본 연구는 중화권 3개국, 즉 중국, 홍콩, 대만 주식시장의 정보전이효과를 중국 주식시장 지분분할개혁전후를 중심으로 3개국 주식시장의 주가지수를 이용하여 살펴보았다. 분석기간은 2002년 1월 1일부터 2013년 12월 31일까지이며 종가지수를 이용하여 분석하였다. 그랜져(Granger) 인과관계 검정결과 중국 A시장과 중화권시장의 경우 전체적으로 홍콩시장이 대만시장을 선도하는 것으로 나타났다. 하지만 중국시장과의 인과관계는 지분분할개혁 이후부터 증가함을 알 수 있다. 중국 A시장 간에는 서로 양방향으로 영향을 끼치는 것으로 나타났고 중국 A시장이 홍콩시장을 선도하는 것으로 나타났다. B주식시장의 경우도 지분분할개혁 이후 인과관계가 증가함을 알 수 있다. 상해와 심천B시장이 홍콩시장을 선도하는 것으로 나타났고, 홍콩시장과 대만시장 모두 심천B시장을 선도하는 것으로 나타났다. 반면 중국 A, B시장 간에는 서로 양방향으로 영향을 끼치는 것으로 나타났다. 분산분해 분석결과 역시 전체적으로 지분분할개혁 이후에 중국주식시장이 중화권주식시장에 끼치는 영향력이 서서히 증가하고 있음을 확인할 수 있었다.
Abstract
This research is based on stock markets in China, Hongkong and Taiwan focusing on the changes of stock market before and after the stock split reform is implemented. This study is carried out by using the share indexes of the three areas. The analysis is conducted from 1st Jan. 2002 to 31st Dec. 2013 by using share index. The analysis certificate is showed as follows. The results of Granger cause and effect relationship certificates showed that A stock market had been enormously affected in the market of China but Hongkong and Taiwan were not influenced that much. However, on one hand, after implementing stock split reforms, China market preferred to select the markets on price and variability orientation. On the other hand, the Taiwan stock market also had a serious impact on the market in China. The situation of B stock market: It is shown that Shenzhen stock market has selected Shanghai stock market while Hongkong stock market has selected Taiwan stock market. However, there is no serious effect relationship between the stock markets in China, Hongkong and Taiwan. While after implementing stock split reforms it shows that China stock market has become to select the stock market in Hongkong, Hongkong and Taiwan stock markets prefer to select the markets in Shenzhen, and Hongkong stock markets prefer to select the market of Taiwan. The analysis results can be concluded as below: The information has been spread from Shanghai to Shenzhen as well as from Hongkong to Taiwan stock market. However, since the China stock market does not have an huge impact on the stock market in Taiwan and Hongkong, we can draw the conclusion that in the stock market of China, the variability spreading effect is not existed in the stock market of Hongkong and Taiwan. B stock market and A stock market showed the same results. However, after implementing stock split reforms, the stock market in Hongkong has a serious impact on the Shanghai and Shenzhen stock markets. For B and Taiwan stock markets, it can be predicted that the variability spreading effect is existed in Hongkong and China stock markets.
- 발행기관:
- 한국산업경제학회
- 분류:
- 경제학