沪深两市基金指数协整性分析

The cointegration analysis about the fund index of Shanghai and Shenzhen

本文运用协整分析的方法,对沪深两市基金指数的联动关系进行了实证分析,结果表明,沪深两市基金指数的变动存在长期稳定均衡关系。

The paper apply the method of analysis of cointegration, and give an empirical application to the linkage relations of the fund index of Shanghai and Shenzhen. The result indicate that the change of the fund index of Shanghai and Shenzhen has the long-term, steady-going and uniform relations.