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

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.