中国A、B股市场相关性与协整性的实证研究

运用相关、协整和因果关系检验等计量经济学方法对中国AB股市场之间的相关性与协整性进行了实证研究,以期找出股市间价格波动的运行规律。结果表明,B股市场对境内投资者开放后,沪深两市A股与B股之间开始存在协整关系,并且沪市的A股市场是先于B股市场的,而深市AB股市场之间不存在先导性。研究结果为判断和分析中国股票市场的基本特征和投资者行为,提供了一定的参考依据。

Empirical analysis of the correlation and cointegration of Chinese stock market A and B

The paper studies the relationship between the Chinese stock market A and B by using the correlation,cointegration and Granger causality test in order to find out the regulation of the moving of the stock pricing.According to the result,stock market A and B have cointegration relation ever since stock market B was opened to the mainland investors.The result shows that stock market A was prior to stock market B in Shanghai,but the situation was not found in Shenzhen stock market.The result also offers a reference to judge and analyze the basic characteristics and investor behavior of Chinese stock market.