大陸經濟對外政策開放後，資本市場快速發展，整體投資環境的改變，亦牽動鄰近國家的經濟發展，尤其對臺灣的影響最顯著，這造就了臺灣中國概念股的出現，也成為投資者矚目之標的股。因此，本研究之目的為：以GARCH(1,1)模型為實證模型(1)探討中國概念股股價指數對上海及深圳A、B股、綜合股價指數間之關連性。(2) 以複迴歸探討中國概念股企業赴大陸之投資績效影響因素。樣本期間為2002年1月2日起至2005年12月31日止。實證顯示如下： 1.上海股市及深圳股市波動時會顯著影響臺灣中國概念股股價指 數，顯示大陸大盤股價指數與中國概念股股價指數之間有著顯著 的波動性效果。 2.在影響投資績效因素中以，稅前EPS貢獻度、持股比率及投資比率 對投資績效有顯著的影響，再者為投資動機及投資地區。 The China Concept Stocks have become a popular issue in the stock market since China adopts the open policy and then affect the economic development of other countries, especially Taiwan. The purpose of this study is to:(1) explore the relationship among Taiwan’s Chinese Concept stocks, Shanghai Index and Shenzhen Index by using the GARCH(1,1) model； (2) find out the influence factors of investment performances by the multi-regression analysis. The results show: 1.The changes in China stock market significantly influence the Taiwan’s China concepts stocks that shows the existence of overflow spill effect among China stock markets and China concepts stocks. 2.The significant factors that would influence investment performances are Pre-tax EPS offering, holding rates, investment percentage, investment motives and investing regions.
