作　　者： ; ;

机构地区： 温州大学数学与信息科学学院

出　　处： 《温州大学学报（自然科学版）》 2010年第1期46-51,共6页

摘　　要： 根据我国股票市场的关键性政策,将2001年2月19日至2009年7月30日分为4个样本时期,通过有向非循环图(DAG)和动态因果检验分析我国5个主要股票指数的联动效应.实证结果表明上证A股市场是导致深证A股市场变化的短期和长期原因,在B股市场刚对国内投资者开放时,上证和深证B股的联动效应特别显著.近年来香港股票市场与国内其它市场的联动性越来越显著. According to the crucial policies of Chinese share markets, the period from February 19th, 2001 to July 30th, 2009 was divided into four different phases. In these phases, linkage effects of 5 key share indices of Chinese share markets were examined and analyzed by means of DAG （Directed Acyclic Graph） method and dynamic causality. Empirical results showed that the reasons of short and long-term market fluctuations in Shenzhen A-share market lle in market fluctuations in Shanghai A-share market. The linkage effects of B-share market between Shanghai and Shenzhen is especially more obvious just after Chinese B-share market was opened to civil investors. And the linkage of share markets between Hong Kong and Chinese mainland has become more and more obvious in recent years.

关 键 词： 股票指数收益率 因果分析 非循环有向图

领　　域： [经济管理]