The Relationship of Stock Prices among China, Taiwan and Hong Kong after the Taiwan’s Transition of Ruling Party

Abstract

[[abstract]]台灣政府總統選舉在2000及2008年出現兩次政黨輪替,2000年由民進黨首次取得執政權,2008年國民黨拿回執政權,此兩黨之執政政策皆不相同。本文探討兩次政黨輪替後,隨著兩岸開放成度不同,分別以2000年選後及2008年選後進行分析。由於2000年和2008年的時代背景差異,2000年唯有上海B股對於台灣加權指數及香港恆生指數有著領先關係;2008年則為上海B股對香港恆生指數有領先關係,且香港恆生又對台灣加權指數存在領先關係,顯示兩岸政策關係改變,進而產生顯著的領先現象。另外,在衝擊反應顯示民進黨當選時,股價有短期反應;但上海B股市場訊息的傳遞效率較快。2008年第二次政黨輪替,兩岸三地指數衝擊有較2000年波動大,且反應期間為較長,推測可能2008年國民黨執政之政策與民進黨不同,使得衝擊反應較大且期間較長。[[abstract]]Both the presidential elections in Taiwan in 2000 and 2008 resulted in the change-hand of ruling parties. In 2000, the Democratic Progressive Party obtained power for the first time. In 2008, Kuomintang took back the helm. Both parties have different political agendas. This paper examines the stock market performances post the presidential elections in 2000 and 2008 in the context of the change of ruling parties and the different levels of openness between China and Taiwan. In 2000, B shares in Shanghai led TAIEX and Hang Seng Index. In 2008, B shares in Shanghai led Hang Seng Index and Hang Seng Index led TAIEX. This indicates the significant leadership of B shares in Shanghai as a result of changes in the political sentiments across the Taiwan Strait. Meanwhile, the impulse response shows that share prices respond to the winning of the Democratic Progressive Party for a short period of time. However, B shares in Shanghai report better transmission efficiency. In 2008, when Kuomintang regained power, the indexes in China, Taiwan and Hong Kong showed greater volatilities than in 2000 and such responses lasted a long period of time. This is perhaps because of the political agenda of Kuomintang

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This paper was published in FirstTech Institutional Repository.

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