上海股市与香港股市的联动分析

文章介绍了协整理论在股市分析中的运用,并通过该方法检验我国上交所上证综指与香港股市恒生指数之间是否存在联动关系。结果表明,2002年1月4日至2008年5月30日期间两市之间并不存在长期稳定的均衡关系,而将整个时段按事件标志划分为7个子时期后,仍未发现两者之间具有显著的协整关系,说明沪市与香港股票市场之间是分离的、独立的,彼此之间并未受共同因素影响,而两股市的这种情况又是由多种差异性造成的。

Analysis on the Reaction between Shanghai Stock Market and Hong Kong Stock Market

In this paper,the authors introduce the use of cointegration in stock market,and run the test between Shanghai Securities Composite Index and Hong Kong Hang Sang Index.The results do not show any long-term and constant equilibrium relation during the period.After dividing the whole period into seven short periods,the authors still do not find significant cointegrating relation.From the empirical analysis,the authors draw a conclusion that Shanghai stock market and Hongkong stock market are separated and isolated;they are not affected by the same factors.