The linkage effect analysis of Shanghai and Shenzhen stock market in China

被引：0

作者：

Wang Qianwen ^{[1
]}

Zhao Guimei ^{[1
]}

Zhang Tingting ^{[1
]}

机构：

[1] North China Univ Technol, Dept Stat, Beijing 100144, Peoples R China

来源：

STATISTIC APPLICATION IN MODERN SOCIETY | 2015年

关键词：

Shanghai and Shenzhen stock market; Linkage effect; Co-integration test; Error correction model;

D O I：

暂无

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

In this paper, we use co-integration test and error correction model to study the long-term equilibrium and short-term dynamic relationship between Shanghai and Shenzhen stock market. The empirical analysis shows that there exists a long-term linkage effect in Shanghai and Shenzhen Stock Market, the long and short-term elasticity of the Shanghai Composite Index on the Shenzhen composite index is big, while the current fluctuation adjustment range of the non-equilibrium error term on Shanghai composite index is not obvious.

引用

页码：618 / 619

页数：2

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