协整方法在中外股市一体化分析中的应用

Co-integration analysis for the domestic and overseas stock markets

通过对2002.1.4-2010.8.20的7个指数的1 873个共有交易日的数据进行协整检验,发现在上证综指和香港恒生指数、道琼斯指数、纳斯达克指数、新加坡指数、台湾加权指数之间都存在着长期稳定的平衡关系。通过格兰杰因果检验,在上证综指和香港恒生指数、道琼斯指数、纳斯达克指数、新加坡指数、日经225指数之间都存在着双向的因果关系,表明上证综指和这些指数之间有很强的信息传递性,而在上证综指和台湾加权指数之间,只存在着上证综指到台湾加权指数之间有单向的因果关系。

Based on data of 7 indices from 1 873 trading days,the co-integration tests suggest that Shanghai Composite Index displays a long-run equilibrium relationship with the indices such as the Hang Seng,the Dow Jones,the Nasdaq,Singapore and Taiwan weighted index.By Granger causality test,we find that bi-directional lead-lag relation exists between the Shanghai Composite Index and indices such as the Hang Seng,the Dow Jones,the Nasdaq,Singapore and the Nikkei 225 index,which indicate the strong information transmission property.But the relation between the Shanghai Composite Index and Taiwan weighted index is in one direction.