| 中国股票市场一体化的时变特征分析 |
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| 引用本文： | 陈云,陈浪南,林伟斌.中国股票市场一体化的时变特征分析[J].管理科学学报,2009(2). |
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| 作者姓名： | 陈云 陈浪南 林伟斌 |
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| 作者单位： | 1. 中山大学岭南学院经济研究所,广州,510275
2. 中国金融期货交易所,上海,200122 |
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| 基金项目： | 国家自然科学基金，教育部人文社会科学重点研究基地重大项目，国家社会科学基金，中山大学面向21世纪教育振兴行动计划（985计划）产业与区域发展研究创新基地资助项目，广东省普通高校人文社会科学重点研究基地项目 |
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| 摘 要： | 基于B股对境内投资者开放这一标志性事件,采用VECM-DCC-MVGARCH模型,分别从长期和短期考察中国股票市场一体化的时变特征.研究结果表明:B股对境内投资者开放后,市场在长期意义上从完全分割走向部分整合;且A股市场处在信息传递的主导地位,信息的短期传递和吸收日益迅速.
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| 关 键 词： | 市场一体化 市场分割 协整检验 多元GARCH |
Time-varying characteristics of integration in Chinese Stock Markets |
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| CHEN Yun,CHEN Lang-nan,LIN Wei-bin.Time-varying characteristics of integration in Chinese Stock Markets[J].Journal of Management Sciences in China,2009(2). |
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| Authors: | CHEN Yun CHEN Lang-nan LIN Wei-bin |
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| Institution: | CHEN Yun1,CHEN Lang-nan1,LIN Wei-bin21.Lingnan College , Institute for Economics,Sun Yat-sen University,Guangzhou 510275,China,2.China Financial Futures Exchange,Shanghai 200122 |
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| Abstract: | This study employs VECM-DCC-MVGARCH model to investigate the time-varying characteristics of integration in Chinese stock markets in the long and short run.The empirical results show that after B-Share is open to domestic investors,the markets are integrated to some extent in the long run,while in the short run,A-share market plays an important role in the information transmitting between A-Share and B-Share markets.In addition,the information transmission between A-Share and B-Share markets has been more r... |
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| Keywords: | market integration market segmentation co-integration test multivariate GARCH |
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