基于VAR模型的沪深股市基金指数的实证分析  

Empirical Analysis of the Fund Index in VAR Model-based Shanghai and Shenzhen Stock Exchanges

作　　者：翁东东[1] 林双钦[1] 

机构地区：[1]泉州师范学院,福建泉州362200

出　　处：《唐山学院学报》2008年第2期73-76,80,共5页Journal of Tangshan University

基　　金：福建省教育厅科技项目(JA05319)

摘　　要：以沪深股市基金指数为研究对象,通过向量自回归(VAR)模型、协整分析、向量误差修正模型(VECM)以及方差分解来检验两者之间的内在关系。结果表明,上证基金指数和深证基金指数对信息的反应不是非常一致,它们相互影响,且存在着长期均衡关系,上证基金指数引导着深证基金指数,深证基金指数在一定程度上反过来影响着上证基金指数。In this paper, we aim to check and examine the inherent relation between fund indexes in Shanghai and Shenzhen Stock Exchanges, adopting Vector AutoRegression Model, Cointegration Test, Vector Error Correction Model and Variance Decompostion as our tools. The results show that fund indexes in Shanghai and Shenzhen Stock Exchanges are not very consistent with each other in response to information, but they influence each other and are in a long-term equilibrium with each other. On the one hand,Shanghai fund index leads Shenzhen fund index and, on the other hand, Shenzhen fund index influences Shanghai fund index to a certain degree.

关 键 词：基金指数 向量自回归模型 协整检验 格兰杰因果关系 

分 类 号：O122.6[理学—数学]