| 中国内地、香港与美国股票市场的长期协整关系研究 |
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| 引用本文： | 陆珩瑱,马颖灏. 中国内地、香港与美国股票市场的长期协整关系研究[J]. 价值工程, 2010, 29(10): 38-40 |
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| 作者姓名： | 陆珩瑱 马颖灏 |
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| 作者单位： | 南京航空航天大学经管学院,南京,210016 |
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| 基金项目： | 南京航空航天大学社科基金:中国证券市场基于行为金融的投资策略研究(V0684-092);;江苏省教育厅社科基金:金融危机下我国上市公司信用风险研究(09SJD790028) |
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| 摘 要： | 随着中国经济不断地融入国际经济环境中,中国内地证券市场的国际化进程也逐渐加快,表现为与世界主要资本市场的联动效应明显增强。本文通过运用协整检验对中国内地、香港以及美国股票市场联动效应的研究发现,金融危机改变了三地股市间的长期均衡关系。
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| 关 键 词： | 联动效应 协整检验 向量误差修正模型 |
Analysis of Comovement among Chinese Mainland, Hong Kong and the U.S. Stock Markets |
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| Lu Hengzhen,Ma Yinghao. Analysis of Comovement among Chinese Mainland, Hong Kong and the U.S. Stock Markets[J]. Value Engineering, 2010, 29(10): 38-40 |
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| Authors: | Lu Hengzhen Ma Yinghao |
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| Affiliation: | School of Economics and Management/a>;Nanjing University of Aeronautics and Astronautics/a>;Nanjing 210016/a>;China |
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| Abstract: | As the Chinese economy plays a more important role in the world, the Chinese Mainland stock market displays an increasing degree of eomovement with the world＇s major equity markets. Based on eointegration test and VAR model, this paper demonstrates the dynamic linkage between Chinese Mainland and Hong Kong stock markets, finds the financial crisis changed the long-term relationship among three stock markets. |
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| Keywords: | comovement effect cointegration test VAR model |
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