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后金融危机时代中美股市之间关联性的实证研究

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摘要 本文系统地比较了金融危机时期和后金融危机时期中国和美国股票市场的关联性问题。从计量经济学角度出发,利用上证综合指数和纽约标准500指数的日收盘价数据,运用协整方法、VAR模型、脉冲响应函数和预测误差方差分解技术进行实证分析,得出在后金融危机时代中美股市存在协整关系,并且美国殷市对中国股市的影响程度较金融危机严重时期有所减弱等一些重要结论。
作者 王云
出处 《商情》 2011年第31期43-43,共1页
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