期刊文献+

证券市场互动性分析

Positive analysis on the interaction of China's stock market
下载PDF
导出
摘要 利用计量经济方法分别就上海A,B股市场、深圳A,B股市场、上海与深圳A、B股市场的互动关系进行了定量分析,结论 是:B股市场向境内居民开放,使我国股票市场的互动关系更为紧密,一个股票市场对另一个股票市场的作用,一般在2-4个交 易日就可达到较大的程度。 Studies the interaction of A and B shares of Shanghai and Shenzhen Stock Market separately. The conclusions are: the interaction between our stock market is more close, when B share open to the inshore resident. On the whole the influence that a stock market to another stock market can attain the considerable big degree at about 2-4 bargain day.
作者 黄永兴
出处 《安徽工业大学学报(自然科学版)》 CAS 2004年第4期338-342,共5页 Journal of Anhui University of Technology(Natural Science)
关键词 证券市场 互动性 GRANGER检验 脉冲响应 方差分解 stock market interaction Granger examination impulse responses variance decomposition
  • 相关文献

参考文献5

二级参考文献59

  • 1俞乔.市场有效、周期异常与股价波动——对上海、深圳股票市场的实证分析[J].经济研究,1994,29(9):43-50. 被引量:297
  • 2吴世农.我国证券市场效率的分析[J].经济研究,1996,31(4):13-19. 被引量:317
  • 3吴冲锋,金融工程研究,2000年,270页 被引量:1
  • 4刘群,杭州师范学院学报,1999年,5卷,Suppl期,159页 被引量:1
  • 5Campbell, J. Y., A. W: Lo and A. C. MacKinlay, 1997, The Econometrics of Financial Markets, Princeton University Press, Princeton, New Jersey. 被引量:1
  • 6Comelius,P. K., 1994,"A Note on the Information Efficiency of Emerging Stock Markets", Weltwirtschafiliches Archiv ,24,820-828. 被引量:1
  • 7Emerson, R, Hall S G and Zalewska-Mitura A, 1997, "Evolving Market Efficiency with an Application to some Bulgarian Shares," Economics of Planing,30,75-90. 被引量:1
  • 8Harvey, A. C., 1987," Applieiations of the Kalman Filter in Econometrics", in T. F. Bewley ( ed. ), Advances in econometrics: fifth world ongress, Econometric Society Monograph N. 13 ,Cambridge University Press. 被引量:1
  • 9Laurence. M. 1986,"Weak Form Efficiency in the Kuala Lumpur and Singapore Stock Markets", Journal of Banking and Finance, 10,431-445. 被引量:1
  • 10Li Xiaoming,2001 ,"China's Evolving Market Efficiency Reconsidered:The Kalman Filter Analysis", Massey University Working Paper. 被引量:1

共引文献292

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部