我国A股市场与B股市场的协整研究

An Analysis on the Co integration between Stock Market A and B

运用现代经济计量学协整和Granger因果检验的方法,对我国的A股、B股股票市场之间的互动关系进行分析,结果表明B股市场对境内投资者开放后,二者开始具有均衡关系。

In this paper, Granger causality test is used to analyze the relationship between stock market A and B. According to the research results, the author draws a conclusion that since stock market B opens to the mainland investors, stock market A and B begin to have an equilibrium relations.