| 中石油在上海、香港和纽约的股票价格的相关性分析 |
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| 引用本文： | 许旭,杨春鹏,姜伟. 中石油在上海、香港和纽约的股票价格的相关性分析[J]. 青岛大学学报(自然科学版), 2008, 21(3): 82-89 |
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| 作者姓名： | 许旭 杨春鹏 姜伟 |
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| 作者单位： | 青岛大学经济学院,山东,青岛,266071 |
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| 摘 要： | 利用协整理论和以VAR模型为基础的VECM模型,对中石油A股、H股和中石油美股之间的波动相关性进行实证研究。研究的结果表明：1）三地的股票价格之间存在协整关系,即长期均衡关系;2）中石油A股的价格波动主要受其自身的影响,H股和美股价格的影响较为有限;3）中石油美股价格在中石油股票的价格发现中起主导作用。
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| 关 键 词： | 股市 中石油 股价波动相关性 协整理论 VECM模型 脉冲响应 方差分解 |
Relevance Analysis of Stock Prices Fluctuation for Petro China Company Limited in Shanghai,Hong Kong and New York Stock Markets |
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| XU Xu,YANG Chun-peng,JIANG Wei. Relevance Analysis of Stock Prices Fluctuation for Petro China Company Limited in Shanghai,Hong Kong and New York Stock Markets[J]. Journal of Qingdao University(Natural Science Edition), 2008, 21(3): 82-89 |
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| Authors: | XU Xu YANG Chun-peng JIANG Wei |
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| Affiliation: | (College of Economic, Qingdao University, Qingdao 266071, China) |
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| Abstract: | Using Johansen multivariate test and vector error correction model based on vector autoregression model, the correlative of the prices of PetroChina Company limited in Shanghai, Hong Kong and New York stock markets is researched. Results show that （1） there is a correlative relation （long-run equilibrium） among the prices of the three markets （2） the price in Shanghai stock market is impacted mainly by its own fluctuation, and fluctuation has a little effect in other two （3） the stock price of Petro China in New York stock market plays a leading role in the price discovery in three markets. |
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| Keywords: | stock market correlative fluctuation of stock prices cointegrate VECM model impulse respon variance decomposition |
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