期刊文献+

中国石化三地股价互动的实证研究

原文传递
导出
摘要 本文以在上海A股市场、香港股市与纽约股市交易的中国石化为例,运用因果关系检验、协整检验,误差修正模型以及脉冲响应方法,研究了同一公司在不同市场上交易的股价的互动关系。
作者 连端清
出处 《价格理论与实践》 北大核心 2008年第8期60-61,共2页 Price:Theory & Practice
  • 相关文献

参考文献3

二级参考文献31

  • 1Robert S.Pindyck Daniel L.Rubinfeld.计量经济模型与经济预测[M].机械工业出版社,1999..
  • 2G.E.P.Box 顾岚等(译).时间序列分析预测与控制[M].中国统计出版社,1997..
  • 3[2]Bailey W. Risk and Return on China New Stock Market: Some Preliminary Evidence[J]. Pacific-Basin Finance Journal, 1994, 2(1): 243~260
  • 4[3]Baig T, Goldfajn I. Financial Market Contagion in the Asian crisis[C]. IMF Staff Papers, 1999, 46(2): 167~195
  • 5[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
  • 6[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
  • 7[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
  • 8[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
  • 9[8]Engle R F, Granger C W J. Co-integration and Error Correction: Representation, Estimation and Testing[J]. Econometrica, 1987,55(2):251~276
  • 10[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

共引文献161

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