摘要
本文以上证综合指数和深圳成分指数为研究对象,选取了以1996年12月16日至2009年5月27日的两指数收盘价为样本,通过向量自回归模型(VAR)、协整分析、脉冲响应分析来检验两时间序列间的内在联系。结果表明,所选取观测交易日的沪深两市对数收盘价不存在长期均衡关系,并且两市股指收益率变化的相互影响的持续时间短;沪深两市不存在格兰杰因果关系,两市的独立性越来越明显;在不同时期,沪深两市波动的联动作用不同。
This paper investigates the intrinsically nexus between the Shanghai composite index and Shenzhen component index, examines the closing price data of the two indexes from December 16, 1996 to May 27, 2009, by vector autoregressive model （VAR）, cointegration analysis and impulse response analysis. The results show that the selected observation of the Shanghai and Shenzhen trading day closing price have no long-term equilibrium relationship, and the mutual impact of two indexes changes in a short period of time; there is no Granger causality between the two markets, the independence of the two markets become increasingly evident. The linkage role of fluctuations between Shanghai and Shenzhen stock markets is different in different period of time.
出处
《统计教育》
2009年第11期24-29,共6页
Statistical education
