| 中国股市A、B指长期均衡关系的实证分析 |
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| 引用本文： | 于蓓.中国股市A、B指长期均衡关系的实证分析[J].统计与信息论坛,2005,20(6):95-99. |
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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1997年1月1日至2001年2月19日及2001年2月28日至2004年12月31日两个阶段上证A、B指间及深圳成分A、B指间的长期均衡关系进行了实证分析,得出中国股市A、B股分割状况有所改善的结论,并从信息的构成、处理、转化、传递的角度对沪、深两市的差异进行了解释。
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| 关 键 词： | 单整检验 协整检验 误差修正模型 信息 |
| 文章编号： | 1007-3116(2005)06-0095-05 |
| 修稿时间： | 2005年7月16日 |
An Empirical Analysis on Co-integration Relationship Between Stock A Index And Stock B Index in Shanghai and Shenzhen Stock Market |
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| YU Bei.An Empirical Analysis on Co-integration Relationship Between Stock A Index And Stock B Index in Shanghai and Shenzhen Stock Market[J].Statistics & Information Tribune,2005,20(6):95-99. |
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| Authors: | YU Bei |
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| Abstract: | With co-integration theory of econometrics put into application,this article makes comparative analysis on the long-term equilibrium coordinating relationship between stock A index and stock B index in Shanghai and Shenzhen stock market,before and after domestic investors be allowed to participate B stock (market.) The result supports the conclusion that the situation of segmentation of stock A market and stock B market in China has been improved.This article explains the differences between Shanghai stock market and Shenzhen stock market from the angle of contents,processing,digesting and delivering of information. |
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| Keywords: | Integration test Co-integration test Error correction model Information |
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