协整技术在中外股市联动中的应用研究

选取2000年1月至2007年2月期间的中外6个样本股指的月PB和月PE估值序列进行协整检验。检验结果表明：（1）海外样本指数估值序列的协整呈现阶段性特征,市场联动具有时变性;（2）用PB、PE序列作为协整检验指标时,检验结果差异很大;（3）英国股指的估值与其它海外样本指数常常呈现长期均衡关系,联动现象明显;（4）上证综指的估值与海外股市不存在长期均衡关系,联动结论无法得到证实。给出了英国与香港股指PB估值的长期均衡关系式和误差修正模型,格兰杰因果性检验表明英国股指的估值对香港股指的估值形成影响,联动效应很强。

Cointegration Technique Application to Linkage Among Domestic and International Stock Markets-base on Evaluation Series

Based on the monthly PB and PE series of six stock market indexes between 2000 and 2007,some cointegration tests are carried out.Below are our findings:the cointegration of evaluation of sample indexes changed in different phase and market linkage has time-varying property;the cointegration test results of PB and PE series are different;the evaluations often show long equilibrium relationship between U.K.and other international stock markets and market linkage is obvious;Shanghai stock market has no long equilibrium relationship to international markets and linkage can't be certified.The cointegration and error correcting models between U.K.and Hong Kong stock markets are presented.According to the result of Granger Causality test,the evaluation of U.K.stock market has effect on Hong Kong and linkage is strong.