摘要
利用向量自回归(VAR)模型、Johansen多元协整检验、向量误差修正(VEC)模型以及方差分解等技术对上海证券市场指数,深圳证券市场成分指数两者问关系进行了实证研究。研究结果表明:两者间存在长期协整关系,短期内的指数偏离可以通过自身约束机制予以纠正,两者间具有相互影响,相互引导的关系。上海证券市场具备了良好的价格发现功能,居于长期价格发现的主导地位。
This paper made an empirical study of the relationship between the Shanghai stock market indices and Shenzhen stock market index components by using vector autoregression （VAR） model, the whole Johansen multivariate test vector error correction （VEC） model and variance decomposition technology. The results indica- ted that there exists the whole relationship of a long - term agreement between the two, and short - term index difference can be corrected through its own constraints mechanism. Shanghai stock market has a good function of price discovery and has a dominant position in long- term price discovery.
出处
《淮阴工学院学报》
CAS
2007年第6期49-53,共5页
Journal of Huaiyin Institute of Technology
基金
福建省教育厅科技项目(JA05319)
关键词
沪深市场
VAR模型
协整检验
VEC模型
the Shanghai and Shenzhen stock markets
VAR mode
cooperatation examination
VEC model
