中国股票价格指数关联性的VAR分析

The VAR Analysis of the Linkage between Stock Price Indices in China

A、B股市场的联动关系及二者之间的长期趋势已成为股市研究的热点问题。运用Granger因果检验及向量自回归模型(VAR)对A、B股价指数的关联性进行检验和分析。实证结果表明:沪深A股股价指数对B股股价指数有较强的引导作用,并且二者之间存在着短期相关关系,而长期均衡关系并不显著。由此,可以认为在短期内A股市场对B股市场具有指导作用。

The linkage between A-share and B-share markets and their long-term trend have become a hot issue in the research on stock market. This paper tests and analyzes the linkage between A-share and B-share indices using Granger causal test and vector autoregression model (VAR).The empirical results indicate that A-share index has a strong guiding effect on B-share index, and that there is a short-term correlation but no significant long-term equilibrium relation between them. Therefore, it can be concluded that, in the short term, A-share market has a guiding effect on B-share market.