牛熊市视角下我国创业板与主板市场的联动性

Analysis on Comovement between Main Board and GEMBoard in China from Bull and Bear Period View

文章通过建立回归模型及运用格兰杰因果关系检验对上证综指和创业板指数的日收益率数据进行实证研究。结果表明,创业板和主板市场联动是同向的,两者在大部分时间"同涨同跌"。在总样本时期及熊市阶段,主板市场对创业板市场具有一定的引导作用,而在牛市阶段则创业板是主板市场的Granger原因,且其收益率对主板收益率的影响程度比熊市阶段更大一些。

This paper uses the regression model and Granger Causality test on the daily closing returns.The results indicate that the GEM board and the main board basically appear the same direction change.They are mostly preferred the＂same rise and fall＂.The main board has a certain guiding role for the GEM board in the whole period and the bear period.However,in the bull period the GEM board is the Granger reason for the main board and has more impact on the return of the main board than the bear period.