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| 基于格兰杰因果检验遍历性分析的中国股市和国际股市的时变联动特征研究 | |
| 引用本文： | 李自然,成思危,祖垒.基于格兰杰因果检验遍历性分析的中国股市和国际股市的时变联动特征研究[J].系统科学与数学,2011,31(2). |
| 作者姓名： | 李自然 成思危 祖垒 |
| 作者单位： | 1. 中国科学院数学与系统科学研究院,北京,100190;中国科学院预测科学研究中心,北京,100190 2. 中国科学院虚拟经济与数据科学研究中心,北京,100190;中国科学院预测科学研究中心,北京,100190 3. 中央财经大学,北京,100081 |
| 基金项目： | 国家自然科学基金(71003094); 上海市智能信息处理重点实验室项目(HPL-09-005)资助 |
| 摘 要： | 通过判断检验结果是否依赖滞后阶数的选取(遍历性分析)来考察格兰杰因果关系的稳定性,并基于该方法,构建了度量中国股市和国际主要股市之间关联程度的指标.虽然中国股市制度上的开放是稳步推进的,但发现中国股市同国际股市波动的关联程度是经历了一个先下降再上升的过程.此研究对认识中国股市的波动生成机制,以及防范境外风险向境内的传导提供了有益参考. |
| 关 键 词： | CGARCH Granger因果检验 遍历性 |
STUDY ON THE TIME-VARYING VOLATILITY TRANSMISSION BETWEEN CHINA'S STOCK MARKET AND INTERNATIONAL STOCK MARKETS BASED ON ERGODICITY ANALYSIS OF THE GRANGER CAUSALITY TEST |
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| LI Ziran,CHENG Siwei,ZU Lei.STUDY ON THE TIME-VARYING VOLATILITY TRANSMISSION BETWEEN CHINA'S STOCK MARKET AND INTERNATIONAL STOCK MARKETS BASED ON ERGODICITY ANALYSIS OF THE GRANGER CAUSALITY TEST[J].Journal of Systems Science and Mathematical Sciences,2011,31(2). | |
| Authors: | LI Ziran CHENG Siwei ZU Lei |
| Institution: | LI Ziran (Academy of Mathematics and Systems Science,CAS,Beijing 100190,Center for Forecasting Science,Beijing 100190) CHENG Siwei (Research Center on Fictitious Economy and Data Science,Beijing 100190) ZU Lei (Central University of Finance and Economics,Beijing 100081) |
| Abstract: | Based on studying the ergodicity of the Granger causality test for different laglengths, this paper analyzes the time varying properties of the linkage between China's Stock Market and World Leading Markets.An index representing the extent of market correlation is also built.The results show that the correlation between China's stock market and the world markets first experiences a decline and then rise dramatically.This study contributes to a better understand of China's stock market pricing mechanism and ... |
| Keywords: | CGARCH granger causality test ergodicity |
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