基于VEC模型的股指联动阶段性差异研究——以A股、H股与恒生指数为例  

The Stage Difference on Co-movement of Stock Indices Analysis Based on VEC MODEL——An Example of A shares,H shares and Hang Seng Indices

作　　者：翁东东[1] 

机构地区：[1]泉州师范学院工商信息学院,福建泉州362000

出　　处：《泉州师范学院学报》2009年第6期17-21,共5页Journal of Quanzhou Normal University

基　　金：福建省教育厅科技项目(JA05319)

摘　　要：基于QFⅡ、汇改和QDII的推出,检验指数联动的阶段性差异.研究发现,样本区间的选择会影响协整检验的结果,而协整方程的识别也直接影响着协整检验的可靠性.通过协整检验发现,QFⅡ的推出并没有使H股指数、A股指数和恒生指数的联动性增强,汇改后联动性得到提高,而次贷危机引发的金融风暴使各地股市出现剧烈波动,影响了QDⅡ效果的判断.In this paper, the stage difference on co-movement of the three is tested indices is tested, based on the events of QFII,exchange rate regime reform and QDII. The findings are.different period sample leads to different result of cointegration test, the correct identification of cointegration equation makes a direct effect on the reliability of cointegration test. The implement of QFII policy does not enhance indices co-movement, but after the exchange rate regime reform these relationships have been improved. And recent financial storm triggered by subprime crisis makes bitterer fluctuation, which disturbs the test result for QDII.

关 键 词：H股 A股 联动 阶段性差异 VEC模型 

分 类 号：O122.6[理学—数学]