| 中国沪深A、B股市场协整性的实证研究 |
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| 引用本文： | 江丽梅. 中国沪深A、B股市场协整性的实证研究[J]. 重庆科技学院学报(自然科学版), 2009, 11(1) |
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| 作者姓名： | 江丽梅 |
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| 作者单位： | 重庆师范大学,重庆,400047 |
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| 摘 要： | 运用协整理论和Granger因果关系检验等计量经济学方法对沪深A、B股市场进行了实证研究,以期找出股市间价格波动的运行规律.结果表明:在2002年1月4日至2008年8月31日期间,沪市A指与B指之间存在长期均衡关系,而深市A指与B指之间不存在长期均衡关系.进而对存在均衡关系的沪市A、B股市场构建了误差修正模型,对不存在均衡关系的深市A、B股市场进行了Granger因果检验,并针对实证结果进行了分析.
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| 关 键 词： | 协整 单位根检验 误差修正模型(ECM) Granger因果检验 |
Empirical Analysis of the Co-integration of Shanghai Stock Market A and B, and Shenzhen Stock Market A and B |
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| JIANG Li-mei. Empirical Analysis of the Co-integration of Shanghai Stock Market A and B, and Shenzhen Stock Market A and B[J]. Journal of Chongqing University of Science and Technology:Natural Science Edition, 2009, 11(1) |
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| Authors: | JIANG Li-mei |
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| Affiliation: | Chongqing Normal University;Chongqing 400047 |
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| Abstract: | The paper studies the relationship between the Shanghai stock market A and B and Shenzhen stock market A and B by using the cointegration and Granger causality test in order to find out the regulation of the moving of the stock pricing.According to the result,the time interval between Jan 4th,2002 and Aug 31st,2008,Shanghai stock market A and B have co-integration relation while Shenzhen stock market A and B haven't.Then it constructs the error correction model and make Granger causality test.Finally it ana... |
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| Keywords: | co-integration unit root test error correction model Granger causality test |
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