| 我国证券市场传染性的实证研究 |
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| 引用本文： | 黄永兴.我国证券市场传染性的实证研究[J].数理统计与管理,2005,24(6):89-95,126. |
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| 作者姓名： | 黄永兴 |
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| 作者单位： | 安徽工业大学,经济学院,安徽,马鞍山,243002 |
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| 摘 要： | 本文利用计量经济学方法分别就上海、深圳A、B股市场关联性与因果关系进行了定量分析,结论是:B股市场向境内居民的开放,使得我国股票市场的联系更为紧密,传染性更明显,且大致说来,一个股票市场对另一个股票市场的作用,一般在2至4个交易日就可达到较大的程度。
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| 关 键 词： | 证券市场 关联性 因果关系 Granger检验 脉冲响应分析 方差分解 |
| 文章编号： | 1002-1566（2005）06-0089-08 |
| 收稿时间： | 2004-05-07 |
| 修稿时间： | 2004-05-07 |
The Positive Research on the Connection and Causality of China's Stock Market |
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| HUANG Yong-xing.The Positive Research on the Connection and Causality of China''''s Stock Market[J].Application of Statistics and Management,2005,24(6):89-95,126. |
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| Authors: | HUANG Yong-xing |
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| Abstract: | The paper studies the connection and causality of A and B shares of Shanghai and Shenzhen Stock Market separately.The conclusions are:the connection between our stock market is more close,when B share open to the inshore resident.On the whole the influence that a stock market to another stock market can attain the considerable big degree at about 2-4 bargain day. |
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| Keywords: | stock market connection causality Granger examination impulse responses variance decomposition |
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