| 中国股市大公司股票与小公司股票收益关系的实证研究 |
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| 引用本文： | 王庆石,朱天星,郭多祚.中国股市大公司股票与小公司股票收益关系的实证研究[J].数学的实践与认识,2006,36(11):70-76. |
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| 作者姓名： | 王庆石 朱天星 郭多祚 |
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| 作者单位： | 1. 东北财经大学数量经济系,辽宁,大连,116025
2. 东北财经大学数量经济系,辽宁,大连,116025;沈阳工业大学经济学院,辽宁,沈阳,110023 |
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| 摘 要： | 对中国股市的大公司股票与小公司股票的价格与收益关系进行了实证研究,结果表明大公司股票与小公司股票的收益无论在牛市阶段还是熊市阶段都存在较高的相关性;熊市阶段大公司股票收益的自相关程度最高,存在一定趋势性.大公司股票与小公司股票的价格序列是单位根的,但不是协整的,二者的收益序列是稳定的,在牛市阶段和熊市阶段大公司股票与小公司股票收益之间存在双向的领先—滞后后关系.
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| 关 键 词： | 领先—滞后关系 差别信息假说 大公司股票 小公司股票 |
| 修稿时间： | 2006年9月24日 |
Empirical Study of the Relationship Between Large Stock and Small Stock Returns in China Stock Market |
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| WANG Qing-shi,ZHU Tian-xing,GUO Duo-zuo.Empirical Study of the Relationship Between Large Stock and Small Stock Returns in China Stock Market[J].Mathematics in Practice and Theory,2006,36(11):70-76. |
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| Authors: | WANG Qing-shi ZHU Tian-xing GUO Duo-zuo |
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| Abstract: | This paper investigates the relationship between Large Stock and Small Stock Returns in China stock market,indicating that there exists strong relativity between Large Stock and Small Stock Returns during both bull market periods and bear market phases.The extent of autocorrelation of Large stock returns is much higher than that of Small stock during bear periods and change in prices of Large Stock has some trend.Prices of Large stock and Small stock are Unit root,but not Cointegration,Their returns are stable,there exists bidirectional Lead-Lag relationship between Large stock returns and Small stock returns at both bull market and bear market phases. |
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| Keywords: | lead-Lag relationship differential information hypothesis large stock small stock |
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