我国证券市场传染性的实证研究  

The Positive Research on the Connection and Causality of China's Stock Market

作　　者：黄永兴[1] 

机构地区：[1]安徽工业大学经济学院,安徽马鞍山243002

出　　处：《数理统计与管理》2005年第6期89-95,126,共8页Journal of Applied Statistics and Management

摘　　要：本文利用计量经济学方法分别就上海、深圳A、B股市场关联性与因果关系进行了定量分析,结论是:B股市场向境内居民的开放,使得我国股票市场的联系更为紧密,传染性更明显,且大致说来,一个股票市场对另一个股票市场的作用,一般在2至4个交易日就可达到较大的程度。The paper studies the connection and causality of A and B shares of Shanghai and Shenzhen Stock Market separately. The conclusions are：the connection between our stock market is more close,when B share open to the inshore resident. On the whole the influence that a stock market to another stock market can attain the considerable big degree at about 2 -4 bargain day.

关 键 词：证券市场 关联性 因果关系 GRANGER检验 脉冲响应分析 方差分解 传染性 实证研究 股票市场 计量经济学 

分 类 号：F832.5[经济管理—金融学] F832.51