摘要
本文根据沪、深两市2006-2008年日度数据,通过GARCH模型分别对A股收盘指数数据波动状况进行拟合,结果显示在检验期内我国股市存在严重的波动集群性。进一步通过单位根检验、协整检验与Granger因果关系检验沪深两市的相互关系,发现沪深股市指数具有长期协整关系和显著相关性。为投资者投资及政府制定股市的监管政策提供参考。
Base on the daily data between 2006 to 2008 in Shanghai and Shenzhen Stock Exchange Center in china,the paper fitting the closing index volatility of stock market A by GARCH model,it shows that there exists volatility gregari-ousness during the test period in the stock market of China.Deeply study through unit root test,Cointegration test and Granger causality test,the main findings are as follows:the indexes of Shanghai and Shenzhen stock market have cointegration relation and correlativity in the long run.
出处
《中国软科学》
CSSCI
北大核心
2011年第S2期164-169,共6页
China Soft Science
