沪、深两市长期均衡关系的实证研究——来自综合指数和成分指数的比较分析

Empirical analysis on long-term and equilibrium relationship between Shanghai stock market and Shenzhen stock market——comparative analysis of relationship between comprehensive indexes and that between ingredient indexes

本文运用计量经济学中的协整理论,对沪、深两市综合指数间的长期均衡关系进行了比较分析。结果表明:上证综指与深证综指间不存在长期均衡关系,上证成指与深证成指间存在长期均衡关系。

With co-integration theory of econometrics put into aplication, this article comparatively analyzes the long-term and equilibrium relationship between comprehensive indexes and that between ingredient indexes in Shanghai stock market and Shenzhen stock market. The result shows that there doesn't exist a long-term or equilibrium relationship between comprehensive indexes while there exist a long-term and equilibrium relationship between ingredient indexes.