Analysis of the Linkage Relationship between the Mainland Stock Market and the Taiwan Stock Market during the Post -epidemic Period Based on the VAR

Yingxin Sun

doi:10.54691/bcpbm.v46i.5101

Authors

Yingxin Sun

DOI:

https://doi.org/10.54691/bcpbm.v46i.5101

Keywords:

stock market linkage relationship, VAR model, pulse response function.

Abstract

This article use The Shanghai Composite Index, Shenzhen component Index and the Taiwan weighted stock index from January 4, 2021 to January 20 , 2023 as the sample. Establish an analysis of the connected relationship between mainland stock markets and Taiwan stock markets during the post-epidemic period. Conduct empirical analysis through stable test, Grandie Cause and effect testing, pulse response analysis, variance decomposition and other methods.The empirical results show that Taiwan's weighted stock price index is the reason for the Shanghai Composite Index and the Shenzhen Stock Exchange. The mainland stock market has a significant guiding role in the Taiwan stock market in the short term. Compared with the Shanghai Composite Index, the Shenzhen Stock Exchange Index has a closer relationship with the Taiwan's weighted stock price index.

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