期刊文献+

我国A+H股公司两地股价互动关系研究 被引量:5

下载PDF
导出
摘要 本文运用现代计量经济学的检验方法,对我国A+H股公司的A股和H股股价互动关系进行了研究。检验结果表明:部分公司的A股和H股股价之间存在Granger因果关系,但不存在协整关系,即相互影响没有形成长期的均衡关系;两个市场的信息处于不完全分割状态。
作者 罗旋 刘冬
出处 《财会月刊(下)》 2006年第7期20-21,共2页 Finance and Accounting Monthly
  • 相关文献

参考文献3

二级参考文献32

  • 1陆懋祖 George McKenzi and Leilei Tang.Volatility Transmission between Hong Kong andShanghai Stock Markets (Manuscript)[M].,Ju1y1999..
  • 2[2]Bailey W. Risk and Return on China New Stock Market: Some Preliminary Evidence[J]. Pacific-Basin Finance Journal, 1994, 2(1): 243~260
  • 3[3]Baig T, Goldfajn I. Financial Market Contagion in the Asian crisis[C]. IMF Staff Papers, 1999, 46(2): 167~195
  • 4[4]Chang T Y, Nieh C C. International Transmission of Stock Price Movements Among Taiwan and Its Trading Partners: Hong Kong, Japan and the United States[J]. Review of Pacific Basin Financial Markets and Policies, 2001,4(4): 379~401
  • 5[5]Chen G M, Firth M, Rui O M. Stock Market Linkages: Evidence from Latin America[J]. Journal of Banking and Finance, 2002, 26(6):1113~1141
  • 6[6]Dickey D A, Fuller W A. Distribution of the Estimators for Autoregressive Time Series with a Unit Root[J]. Journal of American Statistical Association, 1979, 74(366): 427~431
  • 7[7]Dickey D A, Fuller W A. Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root[J]. Econometrica, 1981,49(4): 1057~1072
  • 8[8]Engle R F, Granger C W J. Co-integration and Error Correction: Representation, Estimation and Testing[J]. Econometrica, 1987,55(2):251~276
  • 9[9]Francisco C, Vicente M. Has 1997 Asian Crisis Increased Information Flows between International Markets[J]. International Review of Economics and Finance, 2003, 12(1): 111~143
  • 10[10]Granger C W J. Some Recent Developments in a Concept of Causality[J]. Journal of Econometrics, 1988,39(1/2): 199~211

共引文献82

同被引文献13

引证文献5

二级引证文献7

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部