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基于VEC模型的股票市场与经济发展关系的实证研究 被引量:1

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摘要 本文通过研究经济发展和股票市场相关时间序列数据,建立了一个多变量向量误差修正模型(VEC),较好地模拟了经济发展和股票市场的关系,同时通过Granger因果关系检验得出股票市场市值和经济发展之间存在双向Granger因果关系,同时经济发展和股市成交量之间没有Granger因果关系,反应了我国股市目前发展的一些现状。
出处 《粤港澳市场与价格》 2009年第5期43-45,6,共4页 GD-HK-MO Market & Price
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