AN EMPIRICAL INVESTIGATION OF COINTEGRATION WITH REGIME SHIFTS OF SHANGHAI AND SHENZHEN STOCK MARKETS

摘要：

Using cointegration techniques allowing for regime shifts, long-run equilibrium relationships between Shanghai and Shenzhen stock markets have been investigated. It is concluded that the cointegration relationship between them does have a structural break during the sample period. By establishing error correction model and forecasting the future Shanghai composite index, it has been demonstrated that cointegration model with regime shifts can. well characterize the equilibrium relationships between the two stock markets when there exists a structural break.

关键词： cointegration regime shift structural break shanghai and shenzhen stock markets

作者: Jiping Yang Lisha Sun

作者单位: School of Economics and Management, Beihang University, Beijing 100191, China

会议类型: 国际会议

会议名称: The Tneth International Conference on Industrial Management(第十届工业管理国际会议 ICIM 2010)

会议地点: 北京

会议语种:英文

页码: 519-523

在线出版日期: 2010-09-16（万方平台首次上网日期，不代表论文的发表时间）