我国资本市场内部联动性研究——基于上海证券市场的协整分析

Study on the Internal Correlated and Interactive Property of Our Country's Capital Market——based on the covariant integral analysis of Shanghai stock exchange

由于处于同一政治和经济环境因素的影响之下,所以在我国股票、债券和基金市场的波动之间应该存在一种趋势联动的运行特征。本文以上证综合指数、上证基金指数和上证国债指数为研究指标,通过协整检验、误差修正模型和因果关系检验考察我国股票市场、基金市场和国债市场在不同市场行情中的长期均衡关系及短期波动影响,以反映我国资本市场之间的联动性特征。

Because the influence comes from the same factor of political and economic environment, it should exist a kind of movement characteristic about the correlated and interactive current in the fluctuation between our country＇s stock, bond and fund market. Taking comprehensive index , fund index, and national debt index at Shanghai stock exchange as the study index, the article saw about the long- term balanced relation and short -term fluctuant influence of our country＇ s stock market ,fund market and national debt market in the different market conditions by the covariant integral test, the error correction model and the cause and effect relationship test, which will be able to reflect the correlated and interactive property among our country＇s capital markets.