摘要
研究意义在于用时间序列协整理论分析证券市场间长期稳定的均衡关系.用沪深港证券市场每日收盘综指数据,将其指数形成的时间序列进行协整检验,分析三市场指数时间序列在香港回归前后协整关系的变化.分析表明:(1)三市场每日收盘指数时间序列存在部分协整关系,说明相关市场间有长期稳定的均衡关系;(2)用协整理论分析三市场间均衡关系的结论与实际较吻合;(3)与相关研究相比所选指数数据频率更高,时间段更长.
The significance of this study is that the cointegration theory with time-series is used to analyse the long-term stable equilibrium relationship between the securities markets. Shanghai, Shenzhen, Hong Kong stock market daily closing index data are used, its index time series cointegration is tested, and cointegration relationship changes in the time series of the three market indices are analysed before and after 1997. The analysis shows that： （I） between the three markets＇ daily closing index time series exists partial cointegration relationship, which shows the long-term stable equilibrium relationship exists between the relevant markets; （2） conclusions drawn from analysis by the cointegration theory of the equilibrium relationship between the three markets are in line with actual comparison; （3） this article select index data of higher frequency and longer period of time comoared with other related studies.
出处
《西南民族大学学报（自然科学版）》
CAS
2013年第1期34-37,共4页
Journal of Southwest Minzu University(Natural Science Edition)
基金
西南民族大学青年梯队项目(12NZYTD21)
西南民族大学青年科研项目(12NZYQN29)
关键词
时间序列
协整关系
证券指数
time series
cointegration relationship
securities index
作者简介
刘基良（1977-），男，四川泸州人，硕士，讲师，主要从事大学数学教学、时间序列理论与协整理论相关研究．
