중국 금융경제의 홍콩 대만에 대한 영향력 분석

Abstract

This study has been conducted by dividing the financial market into two representative markets, that is, the stock and bond markets. The examination was conducted by dividing the effects into the effect of the return rate of the stock return and the variability of the bond yield. It was found that some statistically significant effect is made on China from the Stock Return aspect and on Hongkong and Taiwan from the error-term and variability aspects as the results from an analysis of variability. However, in case of a long-term return of the bond market, it was found that some significant spillover effect of the error term in China is made on Hongkong and Taiwan, but the spillover effect of volatility is not made on such countries. In case of a short-term return, the spillover effect of the error term in China is made on Hongkong, but not on Taiwan. However, the spillover effect of variability is not made on Hongkong or Taiwan, either. In an analysis of the return rates, it was found that some statistically significant response to the impulse of the stock return rate of China is made first from the stock return rate aspect and some statistically significant and substantial effect of the return rate in China is made on both Hongkong and Taiwan as the results from a variance decomposition analysis. However, in case of a long-term return in the bond market, it was found that some weak positive (+) significant response was made only on Taiwan as the result from an impulse response analysis and around 4% of effect was made on Taiwan as the results from a variance decomposition analysis. On the other hand, it was found that some significant effects are shown in Hongkong and Taiwan better than in China as the results from an impulse response or a variance decomposition analysis. In case of a short-term return rate, it was found that any significant effects of the short-term return rate of China are not made on Hongkong or Taiwan as the results from both an impulse response analysis and a variance decomposition analysis, but that of Hongkong made some significant effect on that of Taiwan.