A、B股互-自相关研究

Cross-Autocorrelation Between A Shares and B Shares

研究了沪、深市 A、B股之间的领先 -滞后效应。横截面自相关的分析表明 :在考虑了周末效应和GARCH现象后 ,A、B股之间不存在领先 -滞后现象 ,A、B股之间是即时正相关的。这说明虽然 B股交易量明显小于 A股 ,但 A、B股在反应市场信息方面是同步的 ,任何企图从这种领先

This paper analyze the lead lag effects between A shares and B shares. We could not find any lead lag effects using cross autocorrelation, even after controlling the weekend and GARCH phenomena. A shares and B shares are instantaneously positively correlated, which means any arbitrage efforts could be futile basing on the information differnece of these two markets.