| 沪深股市收益率的协整与因果关系实证研究 |
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| 引用本文： | 覃思乾,何杭佳. 沪深股市收益率的协整与因果关系实证研究[J]. 玉林师范学院学报, 2007, 28(3): 7-10 |
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| 作者姓名： | 覃思乾 何杭佳 |
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| 作者单位： | 玉林师范学院,数学与计算机科学系,广西,玉林,537000 |
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| 摘 要： | 利用协整理论与误差修正模型对上证指数与深证指数对数收益率序列进行了协整分析,并利用Granger因果关系检验理论,考察了两者之间的联动关系.
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| 关 键 词： | 股市 收益率 单整检验 协整 误差修正模型 Granger因果检验 |
| 文章编号： | 1004-4671（2007）03-0007-04 |
| 修稿时间： | 2007-03-09 |
Empirical Research of the Co-integration and Causality of Shanghai and Shenzhen Stock Market''''s Return Rate |
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| QIN Si-qian,HE Hang-jia. Empirical Research of the Co-integration and Causality of Shanghai and Shenzhen Stock Market''''s Return Rate[J]. Journal of Yulin Teachers College, 2007, 28(3): 7-10 |
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| Authors: | QIN Si-qian HE Hang-jia |
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| Affiliation: | 1.Lecturer, Department of Mathematics and Computer Science; 2.Yulin Normal University,Yulin, Guangxi 537000 |
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| Abstract: | According to the Co-integration Theory and the Error Correction Model, the logarithm return rate series of Shanghai index and Shenzhen index are analyzed respectively. Meanwhile, the relationship between these two indexes is investigated according to the Granger Causality Theory. |
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| Keywords: | stock market return rate integration test co-integration Error Correction Model Granger Causality |
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