中国股市的共同趋势和共同周期研究

Research on the Common Trend and Common Cycle of Stock Markets in China

运用共同趋势和共同周期计量模型考察上海、深圳和香港的股票市场综合指数月收盘价序列的动态轨迹,以此来研究中国股市的共同趋势和共同周期。实证结果表明,上证指数、深圳成指和恒生指数在长期存在一个共同趋势,在短期存在两个共同周期。

By using econometric models of common trend and common cycle, the paper investigates the dynamic trajectory of monthly closing price sequence composite indices in Shanghai, Shenzhen and Hong Kong stock exchan- ges in order to study the common trend and common cycle of Chinese stock market. The Empirical results show that the Shanghai composite index, Shenzhen component index and Hang Seng index have a common trend in the long run, and there are two common cycles in the short term.