| 沪、深两市长期均衡关系的实证研究——来自综合指数和成分指数的比较分析 |
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| 引用本文： | 于蓓.沪、深两市长期均衡关系的实证研究——来自综合指数和成分指数的比较分析[J].统计与信息论坛,2005,20(4):94-97. |
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| 作者姓名： | 于蓓 |
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| 作者单位： | 天津财经大学,统计系,天津,300222 |
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| 摘 要： | 文章运用计量经济学中的协整理论,对沪、深两市综合指数间及成分指数间的长期均衡关系进行了比较分析.结果表明上证综指与深证综指之间不存在长期均衡关系,上证成指与深证成指之间存在长期均衡关系.
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| 关 键 词： | 单整检验 协整检验 误差修正模型 |
| 文章编号： | 1007-3116(2005)04-0094-04 |
| 修稿时间： | 2004年11月21 |
Empirical Analysis on Long-term and Balanced Relationship Between Shanghai Stock Market and Shenzhen Stock Market--Comparative Analysis of Relationship Between Composite Indexes and that Between ingredient Indexes |
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| Yu Bei.Empirical Analysis on Long-term and Balanced Relationship Between Shanghai Stock Market and Shenzhen Stock Market--Comparative Analysis of Relationship Between Composite Indexes and that Between ingredient Indexes[J].Statistics & Information Tribune,2005,20(4):94-97. |
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| Authors: | Yu Bei |
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| Abstract: | Using the co-integration theory of econometrics, this article comparatively analyzes the long-term and balanced relationship between composite indexes and that between ingredient indexes of Shanghai stock market and Shenzhen stock market. The result shows that there doesn't exist a long-term or balanced (relationship) between composite indexes while there exists a long-term and balanced relationship between (ingredient) indexes. |
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| Keywords: | Integration test Co-integration test Error Correction Model |
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