深沪股市月收盘指数的ADL(p,q)模型  

ADL(p,q) Model for the Month Close Index of Shanghai and Shenzheng Stock Market

作　　者：虞敏[1] 胡晓华[2] 

机构地区：[1]昆明理工大学应用技术学院,云南昆明650093 [2]昆明理工大学理学院,云南昆明650093

出　　处：《昆明理工大学学报（理工版）》2007年第1期115-118,124,共5页Journal of Kunming University of Science and Technology(Natural Science Edition)

摘　　要：利用计量经济学软件EViews4.0,对深沪股市自开市至今2004年10月14年的大盘月收盘指数的波动进行了研究,建立了2个市场相应的ADL(p,q)模型,并对2个市场2004年11月的月收盘指数进行了短期预测分析.从而为广大投资者提供一种短期的数学预测方法,研判大盘走势,把握投资机会;同时还对2个市场进行了格兰特(Granger)因果性检验,发现在显著性水平α=0.05下,深市(沪市)大盘月收盘指数不是(却是)沪市(深市)大盘月收盘指数变化的原因.By making use of Econometrics software Eviews 4.0, a research is made on the volatility of the month close index of ShangHai and ShenZheng stock market from the opening to October 2004 （14 years）, and the ADL （p,q） models for them are separately established. And a prediction is made for their close index in November 2004, which helps the numerous traders make use of the mathematic forecast method to correctly assess the variable trends of the stock market, and hold the chance of investment. Meanwhile, Granger causality tests about two stock markets are done, only to find the relationship between the month dose index of ShenZheng and ShangHai on condition of the significance level α is 0.05.

关 键 词：EVIEWS 收盘指数 ADL(p  q)模型 股市 

分 类 号：F832.5[经济管理—金融学]