摘要
文章以上证综合指数、上证基金指数和上证国债指数为研究对象,通过协整检验、误差修正模型和因果关系检验考察中国股票市场、基金市场和国债市场在股市由下跌向上扬过渡行情中的长期均衡关系及短期波动的影响,研究中国股票市场、基金市场和国债市场的运行相关性特征。
Using the Composite Index of Shanghai Stock Market, Fund Index and National Debt Index as the analyzing objectives, this paper applies the cointegration test, error-correction model and causality test to investigate long-term equilibrium relationship and the short-term fluctuation effect among the stock market, fund market and national debt market in the transitional period of downward to upward. The aim is to find out the characters of operation of our country's stock market, fund market and national debt market.
出处
《华东经济管理》
2005年第2期122-124,共3页
East China Economic Management
基金
青岛大学经济学院院长基金项目
关键词
基金
协整检验
误差修正模型
因果检验
fund
cointegration test
trror-correction model
causality test
