中国股市大公司与小公司股票动态价格关系研究--以钢铁行业为例  

Study on Dynamic Price Relationships Between Small and Large Stocks in China

作　　者：王庆石[1] 朱天星[1] 宋永辉[2] 

机构地区：[1]东北财经大学数学与数量经济学院,辽宁大连116023 [2]沈阳工业大学经济学院,辽宁沈阳110178

出　　处：《数学的实践与认识》2008年第11期48-52,共5页Mathematics in Practice and Theory

摘　　要：从中国上海和深圳股票市场选择了钢铁股票22家,根据差别信息集理论,探究了该行业内股票价格的长期协动关系以及收益的领先—滞后关系,发现钢铁大公司股票与其小公司股票价格的长期协动关系仅存在于牛市阶段.在熊市阶段,大公司股票的收益对小公司股票收益存在信息领先趋势.并给出了实际操作建议.This paper investigates long-term dynamic relationship of 22 iron listed stocks of China Shenzhen and Shanghai stock market, which includes 12 large stocks and 10 small stocks, according to differential information set. We find that the relationship between small and large stocks is cointergation in bull market phase. There exists lead-lag relationship between large stock and small stock returns in bear market phase. We give some practical suggestion on operations.

关 键 词：领先-滞后关系 协整 格兰杰因果关系 

分 类 号：F832.51[经济管理—金融学] F426.31