| 沪深股市波动相关性的实证研究 |
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| 引用本文： | 武以敏,刘小茂.沪深股市波动相关性的实证研究[J].滁州学院学报,2010,12(5). |
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| 作者姓名： | 武以敏 刘小茂 |
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| 基金项目： | 宿州学院自然科学研究项目，宿州学院硕士启动基金项目 |
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| 摘 要： | 文章选取上证指数和深成指数的收益率数据,使用时间序列分析的方法,利用向量自回归模型(VAR)及脉冲响应函数探讨了两个股市之间波动相关性的问题,得到两个市场存在明显的联动关系,通过上证综指滞后五期的收益可以预期深圳成指当期的收益,同样,通过深圳成指滞后六期的收益可以预期上证综指的当期收益.
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| 关 键 词： | 股票指数 收益率 VAR模型 脉冲响应函数 |
An Empirical Study of Fluctuating Correlation between Shanghai and Shenzhen Stock Market |
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| Wu Yimin,Liu Xiaomao.An Empirical Study of Fluctuating Correlation between Shanghai and Shenzhen Stock Market[J].Journal of Chuzhou University,2010,12(5). |
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| Authors: | Wu Yimin Liu Xiaomao |
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| Abstract: | The fluctuating correlation between Shanghai and Shenzhen stock market is discussed in this article by making analysis of the earning rate data of Shanghai Composite Index and Shenzhen Component Index using time series analysis,the vector auto-regressive(VAR)model and impulse response function.The result shows that there is a significant correlation between the two markets.The current income of Shenzhen Stock Exchange Component Index can be anticipated by the last five-period income of Shanghai Stock Exchange Composite Index,and likewise,the current income of Shanghai Stock Exchange Composite Index can be anticipated by the last six-period income of Shenzhen Stock Exchange Component Index. |
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| Keywords: | stock index rate of return VAR model impulse response function |
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