中国沪深股市收益率相关性的实证分析被引量：1

The Empirical Analysis on the Earnings Rate Correlation between Shanghai and Shenzhen Stock Markets

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摘要沪深股市相似的结构和监管环境使得两市的收益率之间具有相互作用和影响。运用Granger因果检验及GARCH-M模型对沪深两市间的相关性进行了分析和检验,结果表明,沪深股市收益率之间存在较强的相关性,沪市对深市的均值溢出效应显著。 The similar structures and regulatory environments of Shanghai and Shenzhen stock markets make the earnings rate of the two cities act and influence on each other. By using Granger Causality test and GARCH-M model, this paper analyzes and tests the correlation between Shanghai and Shenzhen, and finds that there are strong correlations between the earnings rate of the two markets, and the mean spillover effect of Shanghai stock market on Shanzhen stock market is obvious.

作者赵芳

机构地区山西大学管理学院

出处《科技情报开发与经济》 2008年第32期114-115,共2页 Sci-Tech Information Development & Economy

关键词沪深股市收益率溢出效应 GARCH—M模型 GRANGER因果检验 Shanhai and Shenzhen stock market earnings rate spillover effect GARCH-M model Granger Causality test

分类号 F830.9 [经济管理—金融学]

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参考文献3

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