| 创业板市场与沪深主板市场的联动效应分析 |
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| 引用本文： | 唐澍. 创业板市场与沪深主板市场的联动效应分析[J]. 芜湖职业技术学院学报, 2012, 0(1): 13-16 |
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| 作者姓名： | 唐澍 |
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| 作者单位： | 东北财经大学,辽宁大连,116025 |
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| 摘 要： | 经研究发现,沪深300指数收益率对创业板指数收益率构成单向引导关系;二者间呈长期协整关系;从脉冲响应函数上看,沪深300指数收益率对创业板指数收益率构成短期约束,长期内此冲击逐渐弱化直至接近于零。
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| 关 键 词： | 创业板 联动效应 格兰杰因果分析 向量自回归模型 脉冲响应函数 |
Analysis on Co-Movement between the Growth Enterprise Market and the Motherboard Market |
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| TANG Shu. Analysis on Co-Movement between the Growth Enterprise Market and the Motherboard Market[J]. Journal of Wuhu Vocational Institute of Technology, 2012, 0(1): 13-16 |
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| Authors: | TANG Shu |
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| Abstract: | Based on the research,Csi 300 Index logarithmic rate of return would lead Gem Index logarithmic rate of return in one way,and a long-term co-integrating relationship would exist.From the results of the impulse response function,Csi 300 Index logarithmic rate of return would constrain Gem Index logarithmic rate of return in short time.But in long time,the impact would be weakened to none. |
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| Keywords: | GEM co-movement Granger Causality Test VAR Model Impulse Response Function. |
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