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
收藏
页码：618 / 619
页数：2
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