作　　者： ; ; ;

机构地区： 中山大学岭南学院经济研究所

出　　处： 《管理科学学报》 2009年第2期67-76,共10页

摘　　要： 基于B股对境内投资者开放这一标志性事件,采用VECM-DCC-MVGARCH模型,分别从长期和短期考察中国股票市场一体化的时变特征.研究结果表明:B股对境内投资者开放后,市场在长期意义上从完全分割走向部分整合;且A股市场处在信息传递的主导地位,信息的短期传递和吸收日益迅速. This study employs VECM-DCC-MVGARCH model to investigate the time-varying characteristics of integration in Chinese stock markets in the long and short run. The empirical results show that after B-Share is open to domestic investors, the markets are integrated to some extent in the long run, while in the short run, A-share market plays an important role in the information transmitting between A-Share and B-Share markets. In addition, the information transmission between A-Share and B-Share markets has been more rapid since B- share is open to domestic investors.

关 键 词： 市场一体化 市场分割 协整检验 多元

领　　域： [经济管理] [经济管理]