沪深股票市场之间波动性影响关系研究

以对沪深两市波动性指标的解构分析为基础,给出了基于GRACH模型、Granger模型的综合运用,同时引入协整检验和误差纠正机制的均衡分析方法,对沪深两市的波动相关性进行实证分析和模型检验,系统性揭示了沪深两市波动性的关键特征和沪深两市波动互相影响的因果规律,为基于沪深两市金融资产的定价和风险管理奠定了基础.

Analysis of Stock Market Fluctuation and Study on Impact of Relationship between the Stock Market of Shanghai and Shenzhen

Abstract Based on the deconstruction index of the Shanghai and Shenzhen stock fluctuation,the combination of the methods GRACH mode and Granger model was given,and the equilibrium analysis cointegration and error correction mecha-nism were introduced.The correlation fluctuations between the Shanghai and Shenzhen were analyzed and empirically testied to reveal the key features of the impact of the causality law of Shanghai and Shenzhen,which lays a solid foundation for the pricing and risk management of financial assets of the Shanghai and Shenzhen stock markets.