中国股票市场协整现象与价格动态调整过程研究

Cointegration and Dynamic Process of Stock Price in China

本文利用有关协整过程的理论来研究股票价格与市场指数之间的均衡关系 ,进而揭示股票价格的动态调整过程 ,并对绩优股和垃圾股的价格调整模式进行比较 ,发现了一些重要的现象。协整关系的时有时无和协整向量随时期的变化 ,反映了市场中的“板块轮动”现象 ,可以解释股票 β系数的稳定性问题。

By opplying the theory about cointegraion,we research the relation between stock price and market index,and analyze the dynamic process of stock price.After contrasting the ‘Blue Chip’stocks with the ‘Rubbish’ ones,we conclude that the changing relation of cointegration reflects the phenomenon of ‘Block Shifting’,and it can be used to explain the unsteadiness of the Beta.