| 我国A股市场与B股市场的协整研究 |
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| 引用本文： | 姚仲诚.我国A股市场与B股市场的协整研究[J].经济经纬,2004(2):136-138. |
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| 作者姓名： | 姚仲诚 |
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| 作者单位： | 中南财经政法大学,信息学院,湖北,武汉,430060 |
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| 摘 要： | 运用现代经济计量学协整和Granger因果检验的方法,对我国的A股、B股股票市场之间的互动关系进行分析,结果表明B股市场对境内投资者开放后,二者开始具有均衡关系。
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| 关 键 词： | A股市场 B股市场 协整 Granger因果检验 |
| 文章编号： | 1006-1096(2004)02-0136-03 |
| 修稿时间： | 2003年12月25 |
An Analysis on the Co integration between Stock Market A and B |
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| YAO Zhong-cheng.An Analysis on the Co integration between Stock Market A and B[J].Economic Survey,2004(2):136-138. |
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| Authors: | YAO Zhong-cheng |
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| Abstract: | In this paper, Granger causality test is used to analyze the relationship between stock market A and B. According to the research results, the author draws a conclusion that since stock market B opens to the mainland investors, stock market A and B begin to have an equilibrium relations. |
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| Keywords: | Co integration analysis Granger causality test stock market A and B |
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