指数与国际股票市场主要指数的联动性研究_基于协整分析

2911201011技术经济TechnologyEconomicsVol29,No11Nov.,2010基于协整分析秦伟广,杨瑞成(鲁东大学数学与信息学院,山东烟台264025):本文对20022009年中国股票市场与国际主要股票市场的每日收盘数据进行统计分析,运用相关性检验协整检验和格兰杰因果关系检验实证了上证综合指数深圳成分指数分别与香港恒生指数道琼斯指数日经225指数法国CAC40指数和伦敦金融时报指数之间存在相关协整关系进一步研究我国股票市场与国际股票市场的联动性,结果表明,国际股票市场对我国股票市场的影响越来越明显这表明中国股票市场日趋成熟,逐渐与相对完善的国际股票市场接轨:中国股票市场;国际股票市场;股票价格指数;协整检验;联动性:F2249:A:1002-980X(2010)11-0103-07:2010-06-21:山东省自然科学基金项目(2009ZRB019AV)(不完全信息条件下企业信用不良突变诊断机理及其风险预警模型研究):秦伟广(1980),男,河北保定人,鲁东大学数学与信息学院讲师,硕士,研究方向:经济统计;杨瑞成(1970),男,山东潍坊人,鲁东大学数学与信息学院副教授,博士,研究方向:金融统计:()30,2001WTO,,,,[1]QDQF,225CAC40,GARCH,Granger1,20021200912(SZ)(SC),(HS)(DQS)225(JJ)(LD)CAC40(CAC),,,7:,;,,,,,,,,,;,;,,221,103,2002200911200220091,7,,,CAC40,CAC40,,,,,,,,7,7,[2]11,P005,,ADF1%,P005,,,,22221,,,,,,1ADF1%P-1590011-3501501154(LD)-4118952-3502300001-1077924-3501502840(LD)-3849658-3502300002-1610284-3501501109(LD)-4608760-3502300000225-1460273-3501501477225(LD)-4347245-3502300000-1458219-3501501483(LD)-4417174-3502300000CAC40-1217696-3501502266CAC40(LD)-4489200-3502300000-1343824-3501501824(LD)-4974827-3502300000:LD,,xtytI(1),xtyt:yt=+xt+t,txtyt,,t;,I(1),yt=+xt+t(t),yt=+xtI(0),XY,[3]222,EngleGranger1987,:yt=0+1x1t++kxkt+t01k,{t},5,,10429115,LSZLHSLJJLCACLDQSLLD,LSCLHSLJJLCACLDQSLLD,[4]:LSZ=3334899+0875334LHS-(1266316)(4054176)0370933LJJ+1028947LDQS+(-1134548)(2081655)1390903LCAC-2918409LLD(3326853)(-2918409)R2=0697508;AIC=0169614;DW=0161121LSC=5553750+1687100LHS-(2187060)(8103727)0631377LJJ+0485110LDQS+(-2002771)(1017819)1777304LCAC-3156056LLD(4408727)(-3691450)R2=0853671;AIC=0096784;DW=0208008DWdl,,ACF,PACF,222,,,,AR(1),,:LSZ=0001301+09555022LHS+(0154289)(4838776)0041285LJJ2+0256063LDQS+(0212514)(0645391)0079107LCAC-0942505LLD+(0302000)(-2213364)[AR(1)=0983803]R2=09889;AIC=-2127787;DW=1880337LSC=0008759+0991603LHS-(0965552)(4668468)0077498LJJ+0611498LDQS+(-0370684)(1432138)0097607LCAC-1185017LLD+(0346248)(-2585877)[AR(1)=0994871]R2=09991;AIC=-1980948;DW=1601478,,:CAC40,,225CAC40,;CAC40,225,,,,105:LSZLSCLHSLJJLCACLDQSLLD225CAC40,,,,,,,,,33223,,,4,,QDQF,4,2001112,2003120064,2006520077,20078200912,45,2325225CAC404845212590984151263523834550364389017854361*254986342238653718591340983418476251*18625792*758423111735634148029818674396*19549862*107653271487342915164383:,*5%,5%154135225CAC404913789558764255224313780341393276017621893*46198545624672419376542794371953781*1605341*9917452123874531446842119894352*18627113*116452971357341615238416:,*5%,5%154123,QD,,2002WTO,QD,,2006QF,,,2007,1062911,,,,,,,,,,,,,,,,2006QF,,,,,23,,x,yBag1999,,,,Pearson[5],:r=ni=1(xi-x)(yi-y)ni=1(xi-x)2ni=1(yi-y)2(1),n,xiyir1,,r0,ptt,Rtt,Rt=pt-pt-1pt-1,Rt44,,225,,,,();CAC40,,,,08,06,,,4[6]225CAC401087204940277027201880178104780232030602010171106440685059606872251057605600628108410829CAC40108601107:24AIC4,[7]56:,;CAC40;:,,,5FP032816085832430099000327087774048096179597013739074008056733089621047010CAC107587037378CAC280507003081086465048877198159010484:6FP158196018675610093000024122980030455183630012959425884002928328148004391CAC126617028990CAC311096001946109402036499223142007255:320021200912,,WTO,;225CAC40,;,,2002WTO,,,,,WTO2003QF,,,WTO,;2006QD,225,,,,,,2006,,CAC40,,,2007,,,,,2008,,,,1082911,,,;,,,,[1],.[J].,2009(1):129136.[2].[M].:,2008.[3].[M].,,.:,2006.[4].[J].,2008(10):5659.[5],.[M].:,2007:158161.[6].SPSS[M].:,2008.[7],,.[J].,2009(9):1721.StudyonLinkagebetweenChina'sStockMarketIndexandMainIndexforInternationalStockMarket:BasedonCointegrationAnalysisQinWeiguang,YangRuicheng(SchoolofMathematics&Information,LudongUniversity,YantaiShandong264025,China)Abstract:ThispaperusesthedailyclosingdatafrommaininternationalstockmarketsandChina'sstockmarketfrom2002to2009,andempiricallyinvestigatesthecorrelationsbetweenShanghaiCompositeIndexaswellasShenzhenComponentIndex,andHangSengIndex,Nikkei225StockIndex,DowJonesIndex,FinancialTimesIndexandFrenchCAC40indexbythecorrelationtest,cointegrationtestandGrangercausalitytestTheresultsshowsthatShanghaiCompositeIndexandShenzhenComponentIndexcorrelateandcointegraterespectivelywithHangSengIndex,DowJonesIndex,Nikkei225index,FinancialTimesIndexandFrenchCAC40indexAndthefurtherresearchshowsthattheimpactsofinternationalstockmarketonChina'sstockmarketbecomeincreasinglyevident,whichindicatesthatChina'sstockmarketbecomesmoremature,andconsistentgraduallywithinternationalstockmarketsKeywords:China'sstockmarket;internationalstockmarket;stockpriceindex;cointegrationtest;linkage(40)[4]AMITR,XOTTC.ValuecreationineBusiness[J].StrategicManagementJournal,2001(6):4149.[5]DUBOSSONT,OSTERWALDERA,PIGNEURY.EBusinessmodeldesign,classificationandmeasurements[J].ThunderbirdInternationalBusinessReview,2002(1):3556.[6].:[J].,2005(7):7381.[7].:[M].:,2004:6163.[8].B2B[J].,2001(1):1822.[9]SLYWORKYJ.ValueMigration:HowtoThinkSeveralMovesAheadoftheCompetition[M].CorporateDecisions,Inc,1996:3135.[10]STEWARTD,ZHAOQ.Internetmarketing,businessmodelsandpublicpolicy[J].JournalofPublicPolicy&Marketing,2000(3):2741.[11].[M].:,2002:5355.[12].[M].:,2003:3638.ResearchonEnterprise'sBusinessModelBasedonValueInnovatio