中国股票市场一体化的时变特征分析  

Time-varying characteristics of integration in Chinese Stock Markets

作　　者：陈云[1] 陈浪南[1] 林伟斌[2] 

机构地区：[1]中山大学岭南学院经济研究所,广州510275 [2]中国金融期货交易所,上海200122

出　　处：《管理科学学报》2009年第2期67-76,共10页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70673116);教育部人文社会科学重点研究基地重大资助项目(05JJD790075);国家社科基金资助项目(07BJY167);中山大学“985工程”产业与区域发展研究创新基地资助项目;广东省普通高校人文社会科学重点研究基地资助项目

摘　　要：基于B股对境内投资者开放这一标志性事件,采用VECM-DCC-MVGARCH模型,分别从长期和短期考察中国股票市场一体化的时变特征.研究结果表明:B股对境内投资者开放后,市场在长期意义上从完全分割走向部分整合;且A股市场处在信息传递的主导地位,信息的短期传递和吸收日益迅速.This study employs VECM-DCC-MVGARCH model to investigate the time-varying characteristics of integration in Chinese stock markets in the long and short run. The empirical results show that after B-Share is open to domestic investors, the markets are integrated to some extent in the long run, while in the short run, A-share market plays an important role in the information transmitting between A-Share and B-Share markets. In addition, the information transmission between A-Share and B-Share markets has been more rapid since B- share is open to domestic investors.

关 键 词：市场一体化 市场分割 协整检验 多元GARCH 

分 类 号：F830[经济管理—金融学] F224