| A、B股指数波动的Granger因果关系分析 |
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| 引用本文： | 杨渺,杨代若. A、B股指数波动的Granger因果关系分析[J]. 数理统计与管理, 2003, 22(1): 23-27 |
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| 作者姓名： | 杨渺 杨代若 |
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| 作者单位： | 南方证券研究所市场部,广东,深圳,518001;重庆市党校黔江分院,重庆,400900 |
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| 摘 要： | 本文利用时间序列分析中的格兰杰因果关系检验法对中国证券市场A、B股的波动性进行分析 ,发现上海市场A、B股的波动间存在双向因果关系 ,而深圳市场A、B股的波动间则不存在显著可信的因果关系。对于A、B股市场间的关系以及深、沪两市的差异 ,本文从信息传递和交易者构成的角度进行了分析
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| 关 键 词： | 波动性 Granger因果关系 信息传递 |
| 文章编号： | 1002-1566(2003)01-0023-05 |
| 修稿时间： | 2001-08-03 |
An analysis on Granger casuality between A and B-shares index''''s volatility |
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| YANG Miao ,YANG Dai ruo. An analysis on Granger casuality between A and B-shares index''''s volatility[J]. Application of Statistics and Management, 2003, 22(1): 23-27 |
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| Authors: | YANG Miao YANG Dai ruo |
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| Affiliation: | YANG Miao 1,YANG Dai ruo 2 |
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| Abstract: | In this study,we make use of Granger-casuality test to analyze the relationship between volatilities of A and B-shares index.According to the emprical results,we draw this conclusion that there is a bi-directional casuality between A and B shares volatility in Shanghai stock market,while there is no evident and reliable Granger-casuality between A and B shares volatility in Shenzhen stock market.From the angle of information-transfer and the constitution of stock trader,we explain the difference between Shanghai and Shenzhen stock market. |
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| Keywords: | Volatility Granger Casuality Information-transfer |
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