股票日收盘价的协整与因果关系实证研究

Empirical Research of Co-Integration and Causality of the Stocks' Day Closing Prices

研究同类股票收盘价之间的长期均衡和短期波动关系是把握股票的发展规律及发展趋势的关键。为此,对威普罗公司和惠普公司2005年10月3日至2014年5月23日共2 175对日收盘价数据进行了研究。首先,通过观察股票的时序图,利用线性协整理论对日收盘价数据之间的关系进行定量的实证分析,研究结果表明:股票之间存在长期均衡关系。其次,为研究短期波动关系,提高模型的精度,将协整回归中的误差项看作均衡误差,建立误差修正模型,通过这种短期动态模型来弥补长期静态模型的不足。最后,进一步考察两股票之间是否存在必然的因果关系,进行Granger因果检验,发现两序列不存在因果关系,即两者相互独立。

In order to investigate the development rules and trends of the present stock market, it is important to study the relationship between long-term equilibrium and short-term fluctuation of the closing prices of similar stocks. Firstly, based on the data of daily closing prices of both Wipro and HP from the October 3ra, 2005 to the May 23rd, 2014, we investigated the relationship between these data via the time series plot and the linear co-integration theory. The resu]t shows that there exists a long-term equilibrium relationship between the two stocks. Secondly, in order to investigate the short- term fluctuation relationship and improve the precision of the model, we regarded the error in co-integration regression as the error in equilibrium, and then established the error correction model. The weakness of the long-term static model was made up for by using the short-term dynamic model. At last, we further tested whether the inevitable causality exits between the two stocks. There is no causality relationship between the two sequences via the Granger-causality test, namely, they are independent of each other.