摘要
中国证券市场与其他国家和地区的股市相比,最大区别点是"市场分离(marketsegmentation)"和"政策市场"。本文为研究沪市中影响A、B股交叉相关系数的因素,先利用交叉相关系数计算A、B股交叉相关系数后,再利用多变量公式分析了决定A、B股相对情报力的因素。
Chinese stock market is quite different from the other countries in market segmentation and policy market.This paper measures cross-autocorrelation between A and B shares issued from the same company,and analyzes the differences,and considers the reflection on speed of stock information and efficiency differences between the two different investor groups.We also analyze the factors causing these differences through the multiple linear regression.
关键词
交叉自己相关
市场分离
相对情报力
cross-autocorrelation
market segmentation
relative information power
