上证指数与纽约综指日经指数及恒生指数的联动性分析

采用VECM模型、协整检验、Granger因果检验以及脉冲响应与方差分解方法,对纽约综指、日经指数、恒生指数和上证指数的联动性进行了分析。结果表明,四大股指之间具有协整关系,纽约综指具有引导作用,亚洲三大股市相互之间影响不大,中国股市主要受自身变动的影响。

Analysis of linkage among Shanghai Composite Index with Newyork Composite, Nikkei index and Hangseing index

Using vector error correction model, Cointegration test, Granger causality test, impulse response and variance decomposition, the linkage relations among the New York Composite Index, Nikkei Index, the Hang Seng Index and Shanghai Composite Index were analyzed. Results show that there is a cointegration relationship among the four indexes, of which the New York Composite plays a guiding role, the interaction between the Asia＇s three major stock indexes is weak, and China＇s stock market is mainly affected by its own changes.