上证红利指数与沪深300指数的协整计量分析模型

THE EMPIRICAL ANALYSIS OF LONG-RUN AND SHORT-RUN LINKAGES BETWEEN SHANGHAI DIVIDEND INDEX AND HUSHENG 300 INDEX

为了判断上证红利指数与沪深300指数之间的相互关联,使用协整模型的单整检验、协整检验、格兰杰因果检验等计量经济学的方法分析我国上证红利指数与沪深300指数之间的相互联系,发现我国上证红利指数与沪深300指数之间不仅存在共同的长期趋势,并且具有短期的共同波动模式,因此在上证红利指数与沪深300指数之间具有一定的参照性和可比性。它们之间不存在长期均衡的协整关系,不相互影响,不互为因果关系,两种指数都是投资者的重要参考分析指数。

The paper investigates the nature of the relationship between ShangHai Dividend Index and HuShen300 Index, by using the co-integration testing and error correction model, such as examination of unit,cooperatation examination,granger causality examination, etc. By exploring the data from the China＇s economy , we get the evidences that suggest in general case , ShangHai Dividend Index and HuShen300 Index not exhibit a long-run common trend and also no find followa short-run cyclical pattern. From the result we can know that there is no examination relation between ShangHai Dividend Index and HuShen300 Index.