关于沪、深股市股价过程的协整分析及其数学模型

The Stock Price Process of Shanghai and Shenzhen as Analgsed by the Nethod of Co-Integration

利用协整过程的理论和方法,探求最近一段时间内沪、深两市股票价格过程之间的动态均衡关系.通过建立误差修正模型(ECM),发现指数收益率序列的短期波动,并对沪、深两市股票指数进行协整分析,得出它们相关的结论.从而给证券投资者在判断投资时机时提供一定的依据.

The exploitation helps the co - integration process and methods to investe recent period of time inside the two dynamic state well balanced between Shanghai and Shenzhen stock price processeses. By building up the error margin correction model（ECM）, we discover the short - term motion of the index number rate of return sequence, and carry on helping the cointegration analysis to the Shanghai and Shenzhen stock indexes, getting their related conclusion . Thus we give the stock certificate investor the certain basis while judging to invest the opportune moments.