摘要
本文对同时在香港和内地上市的孪生国有股股价之间的关系作了详尽的研究。首先运用协整理论和Granger引导关系对两地孪生国企股的关系进行剖析。接着运用动态ADL模型和GARCH模型对两地孪生国企股票进行了建模分析。通过以上分析,我们发现,国企A股和其孪生H股之间在某些时期内存在着协整关系,并且H股对A股之间存在滞后的引导关系。同时我们发现在股市波动与平稳的不同阶段,两地孪生股票间的影响是不同的!
In this paper, the twin securities of Hong Kong and China mainland are analyzed. We firstly apply Co-integration and Granger causal-relationship theory to analyze the twin securities, and then build the dynamic ADL and GARCH model to search the quantity-relation between them. From the analysis, we find there exist some co-integration relations between twin securities in some periods, and in other periods of fluctuation and stability, the influence between twin securities are different.
出处
《运筹与管理》
CSCD
2005年第6期93-98,共6页
Operations Research and Management Science
基金
国家自然科学基金资助项目(10201029)
