基于协整技术上的中国股票市场的理性分析  

Analysis of Chinese Market Rationality Based on Co-integration

作　　者：韩泽县[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《北京航空航天大学学报（社会科学版）》2005年第3期5-7,11,共4页Journal of Beijing University of Aeronautics and Astronautics：Social Sciences edition Edition

基　　金：国家杰出青年基金资助项目(70225002)

摘　　要：理性是股市成熟度的重要标志。利用协整技术,通过对具体个股股价和公司经营业绩间关系的分析,从微观的角度探讨股市的理性问题。实证的结果表明,股价与上市公司的经营业绩是脱钩的。从此意义上说,在中国证券市场,基础分析对证券分析没有作用,整个市场以投机行为为主,投资者的行为没有理性。Rationality represents the maturity of a stock market.In this paper, the author applies co-integration theory to the analysis of specific securities instead of index and finds no co-integrative relation between prices and returns of companies' management.On the basis of this empirical study, the author concludes that the stock market can not reflect the real economy of the company and the behavior of investors is therefore unreasonable.

关 键 词：协整 股市 理性 泡沫 

分 类 号：F830.91[经济管理—金融学]