• 문화기술의 융합
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• 제5권3호
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• pp.113-118
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• 2019

본 연구는 후강퉁 제도의 시행 이후에 중국, 홍콩, 대만 및 싱가폴 증권시장 간의 상호의존성이 어떻게 변화되었는지를 수익률과 변동성을 동시에 분석할 수 있는 EGARCH-GED 모형을 이용하여 분석하였다. 후강퉁 제도의 시행 이후 대만 증권시장의 대중화권 증권시장과의 상호의존성은 크게 약화되었으며, 싱가폴 증권시장의 대중화권 증권시장과의 상호의존성은 존재하지 않는 것으로 나타났다. 반면에 후강퉁 제도의 시행 이후에 중국과 홍콩 증권시장 간의 상호의존성은 크게 강화된 것으로 나타났다. 이는 후강퉁 제도의 시행에 따라 중국과 홍콩 투자자들이 두 증권시장에 투자할 수 있는 여건이 개선됨에 따른 결과로 추정된다. 따라서 대중화권 증권시장에서의 분산투자를 고려할 때에는 대만과 싱가폴 증권시장의 상호의존성 약화와 중국과 홍콩 증권시장의 상호의존성 강화를 고려하여 분산투자전략을 수립할 필요가 있을 것이다.

• Journal of Korea Trade
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• 제23권7호
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• pp.147-155
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• 2019

Purpose - As the U.S.-China trade war has become considerably worse, the Chinese government is considering applying non-tariff barriers to trade, especially local contents rule. The main purpose of this research is to check whether it is suitable for Korean investors to invest in the current Chinese capital market. Design/methodology - In order to check the stability of the recent Chinese capital market, we investigated the behavior of foreign equity investment (including Korean equity investment) in the Chinese capital market after China announced the Shanghai-Hong Kong Stock Connect (SH-HK Connect). In this paper, we researched whether international portfolio investment would or would not contribute to an increase the volatility of an emerging market's stock market (Chinese capital market) when foreign investors make investment decisions based on the objective of short-term gains by rushing into countries whose markets are booming and fleeing from countries whose markets are falling. Findings - The empirical results indicate that foreign investors show strong, negative feedback trading behavior with regard to the stock index of the Shanghai Stock Exchange (SSE), and when the performance of foreign investors in the Chinese stock market was fairly good. Also, we found evidence that the behavior of foreign investors significantly decreased volatility in SSE stock returns. Consequently, the SH-HK Connect brought on a win-win effect for both the Chinese capital market and foreign investors. Originality/value - It appeared that the Chinese capital market was very suitable for Korean investors after the China's declaration of the SH-HK Connect. However, the win-win effect was brought on by the Chinese government's aggressive capital control but the capital controls could possibly cause financial turmoil in the Chinese capital market. Therefore, Chinese reform in industrial structure and the financial sector should keep pace with suitable capital control policies.