| This paper uses cointegration test to analyze cointegration relation and long run equilibrium between Taiwan ,Hong Kong,Shanghai and Shenzhen stock markets from January 4,2001 through Ariple 1,2005.Moreover analyze cointegration relation between China and American stock markets .Besides,we use impulse response funcion and variable decompostion to detect the change in co-movement relationship among Taiwan ,Hong Kong,Shanghai and Shenzhen stock markets as exogenous variables change According to emprirical findings ,we assert the follow:1. There exist the first order integration in index of Shanghai ,shenzhen,Taiwan,Hong kong America stock.2. we analyze cointegration relation in Shanghai ,Shenzhen,Taiwan and Hongkong st -ock,result indicate they exsist cointegration relation and long run equilibrium,furtherm -more we analyze cointegration between China and American stock ,the result indicate do not exist cointegration relation the result is not same to cointegration of Chian and American stock by Zhangfu in 2004.3.Vecm of result indicate Shanghai A index,Shenzhen B,hengsheng index,and jiaqua -an index can recur equilibrium when they deparure equilibrium by coefficient of vecm moreover hengsheng index is very quike.By Granger test indicate between A and B inde -x have cause and effect contemporary between hengsheng index and jiaquan index hav -e cause and effect,this result is same to vecm.4. Every stock response impetuosity ,when they impact themselves by one criterion of themselves.moreover they are positive direction and persistence by impulse respon-se function . Ability of every stock explain change frome strong to feebleness is Amercian Hongkong,Taiwan,shanghai A index ,Shenzhen B index Shanghai B ,shenzhen A by var -iable decompostion.This result indicate China stock is not marturity,they easly are imp -acted by other stock . |
