摘要
本文利用时间序列分析中的格兰杰因果关系检验法对中国证券市场A、B股的波动性进行分析 ,发现上海市场A、B股的波动间存在双向因果关系 ,而深圳市场A、B股的波动间则不存在显著可信的因果关系。对于A、B股市场间的关系以及深、沪两市的差异 。
In this study,we make use of Granger-casuality test to analyze the relationship between volatilities of A and B-shares index.According to the emprical results,we draw this conclusion that there is a bi-directional casuality between A and B shares volatility in Shanghai stock market,while there is no evident and reliable Granger-casuality between A and B shares volatility in Shenzhen stock market.From the angle of information-transfer and the constitution of stock trader,we explain the difference between Shanghai and Shenzhen stock market.
出处
《数理统计与管理》
CSSCI
北大核心
2003年第1期23-27,共5页
Journal of Applied Statistics and Management
