The linkage effect analysis of Shanghai and Shenzhen stock market in China

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.

关键词： Shanghai and Shenzhen stock market Linkage effect Co-integration test Error correction model

作者: WANG Qianwen ZHAO Guimei ZHANG Tingting

作者单位: Department of Statistics,North China University of Technology,P.R.China,100144

会议类型: 国际会议

会议名称: The 7th International Institute of Statistics & Management Engineering Symposium(IISMES2015) (第七届国际统计与管理工程学术研讨会)

会议地点: 山东 日照

会议语种:英文

页码: 365-367

在线出版日期: 2015-08-17（万方平台首次上网日期，不代表论文的发表时间）