摘要
本文分析了香港、上海和深圳股市的相互关系 .借助 Granger因果关系的思想 ,从收益率与波动性两方面研究了三个股市间的相互联系与互动性 .结果表明 :沪深股市收益率与波动性间存在着很强的相关性 ;沪深股市的变化受香港股市等外来因素的影响很小 ;深圳股市对上海股市存在着显著的
This paper analyzes the auto and cross correlations of Hong Kong, Shanghai and Shenzhen stock markets. Based on some econometric techniques, the Granger causality on the cross correlation and co movement of the three stock markets is explored. The results show that there are strong auto correlation, long memory and persistence for the volatility of each of the three stock markets. Hong Kong stock market has little influence on Shanghai and Shenzhen stock markets. Shenzhen stock market has strong Granger causality on Shanghai stock market, but the reversal does not exist.
出处
《管理科学学报》
CSSCI
2001年第5期7-12,78,共7页
Journal of Management Sciences in China
基金
国家自然科学基金资助项目 ( 79930 90 0 )
中国科学院数学与系统科学研究院院长创新基金资助项目 ( 15 0 180 0 )
