沪深股市收益率的协整与因果关系实证研究  

Empirical Research of the Co-integration and Causality of Shanghai and Shenzhen Stock Market's Return Rate

作　　者：覃思乾[1] 何杭佳[1] 

机构地区：[1]玉林师范学院数学与计算机科学系

出　　处：《玉林师范学院学报》2007年第3期7-10,共4页Journal of Yulin Normal University

摘　　要：利用协整理论与误差修正模型对上证指数与深证指数对数收益率序列进行了协整分析,并利用Granger因果关系检验理论,考察了两者之间的联动关系.According to the Co-integration Theory and the Error Correction Model, the logarithm return rate series of Shanghai index and Shenzhen index are analyzed respectively. Meanwhile, the relationship between these two indexes is investigated according to the Granger Causality Theory.

关 键 词：股市 收益率 单整检验 协整 误差修正模型 GRANGER因果检验 

分 类 号：O212[理学—概率论与数理统计]