上证综指与道琼斯指数和恒生指数的因果与协整关系分析

The Granger Causality Analysis and Co-integration Analysis on SSE Composite Index,Dow-Jones index and Hang Seng Index

本文应用2002至2007年的数据，对上证综指和道琼斯指数与恒生指数之间的Granger因果关系和协整关系进行了实证检验。结果发现道琼斯指数对恒生指数和上证综指存在显著的Granger因果关系，而恒生指数和上证指数之间没有因果关系。上证综指和道琼斯指数与恒生指数之间不存在协整关系，国内外市场之间并不存在长期均衡的关系，没有长期共同趋势，是相分离的。

This paper made the Granger Causality Analysis and co-integration analysis on SSE Composite Index, Dow-Jones index and Hang Seng Index, according to the data of 2002 to 2007. The result showed that Dow-Jones index and Hang Seng Index has significant Granger causality, while Dow-Jones index and Hang Seng Index does not have this causality. SSE Composite Index and Dow-Jones index does not have co-integration relationship. Domestic and international market is separated as they do not have long-term equilibrium relationship and common trend.