摘要
利用协整理论与误差修正模型对上证指数与深证指数对数收益率序列进行了协整分析,并利用Granger因果关系检验理论,考察了两者之间的联动关系.
According to the Co-integration Theory and the Error Correction Model, the logarithm return rate series of Shanghai index and Shenzhen index are analyzed respectively. Meanwhile, the relationship between these two indexes is investigated according to the Granger Causality Theory.
出处
《玉林师范学院学报》
2007年第3期7-10,共4页
Journal of Yulin Normal University
