| 引导关系实证研究—上证A股指数与上证B股指数的引导关系检验 |
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| 引用本文： | 王娟花,王浣尘.引导关系实证研究—上证A股指数与上证B股指数的引导关系检验[J].预测,2001,20(5):43-47. |
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| 作者姓名： | 王娟花 王浣尘 |
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| 作者单位： | 上海交通大学 管理学院，上海 200030 |
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| 摘 要： | 由于我国证券市场中A股与B股产生的原因及一直以来的走势，业内人士对A、B股指之间的关系有不同的意见。本文在理论上对不同观点进行验证，对上证A、B股近两年来500个收盘指数用线性回归模型进行引导关系检验，分析检验结果认为：它们的走势之间基本上独立发展，在部分时间段存在互动关系，股指大幅波动时有A指滞后引导B指的情况，而B指滞后引导A指的情况则很少发生。
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| 关 键 词： | 上证A指 上证B指 平稳性 协整性 引导关系 中国证券市场 A股市场 B股市场 |
| 文章编号： | 1003-5192(2001)05-0043-05 |
Empirical Analysis on the Causal Relationship--Study on the Causal Relationship between A Share and B Share Index of Shanghai Stock Market |
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| WANG Juan hua,WANG Huan chen.Empirical Analysis on the Causal Relationship--Study on the Causal Relationship between A Share and B Share Index of Shanghai Stock Market[J].Forecasting,2001,20(5):43-47. |
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| Authors: | WANG Juan hua WANG Huan chen |
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| Abstract: | There have been different viewpoints on the relationship betwwen A share and B share stock in Shanghai stock market because the origin and development pattern of them. A theoretic study is made in this article on various viewpoints involved by examining the causal relationship of the 500 closing price index over the past two years by way of linear regression model. The findings are: A share and B share indexes are basically independent in their development pattern, although there exists kinds of interaction occasionally; Sometimes A share lags behind B share when there is severe fluctuation, but rarely the other way round. |
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| Keywords: | A share stock B share stock smoothness co integration causal relationship |
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