中国股票市场股利、股价之间非线性Granger因果关系的实证研究

A Nonlinear Granger Causality Test between Dividend and Stock Price in China Stock Market

本文借鉴Shiller在研究美国股票市场时发展的一套处理股利数据的方法,得到我国上海证券交易所上市A股从1994年到2010年的股利月度数据,使用Diks和Panchenko提出的一种新的非参数检验方法,对中国股票市场股利、股价之间的非线性Granger因果关系进行了检验,认为不存在股利对股价的非线性Granger因果影响。但是,存在股价对股利的非线性Granger因果关系,而使用通常的线性Granger因果检验,认为二者之间不存在Granger因果关系。这说明中国股票市场把未来股利的信息以非线性的形式逐步地传递到股价中,在一定程度上是信息有效的。

According to the method which Shiller had developed in studied the U. S. securities market, I have got stock dividend month data listed in Shanghai stock exchange from 1994 to 2010. I have empirically studied the nonlinear Granger causality between stock prices and dividends using the nonlinear Granger causality Diks-Panchenko test. I find that there is no linear causality between two series for China using the F test, I cannot reject the null hypothesis of no causality from stock price to dividend and reject the null hypothesis of no causality from dividend to stock price.