中国股票市场A股与B股的引导关系研究.pdfVIP

摘 要 本文以2007年之前同时发行A股、B股的上海和深圳股市86家上市公司为样 本（上海44家、深圳42家），样本取值为2001年3月1 日到2007年3月1 日的每日收 盘价。先后采用Granger 因果关系分析方法，共同因子分析以及信息份额方法对 A 、B之间是否存在价格先导性进行检验。实证结果发现，短期内，上海证券交 易所以及深圳证券交易所大部分A 、B股之间存在引导关系，但引导关系因公司 而异， A股引导B股和B股引导A股的家数基本持平，A股市场的投资者较B股市 场的投资者稍占信息优势。长期看来，大部分样本公司A 、B股之间存在协整关 系，说明A 、B股之间的相互影响比较稳定，基本达到一种长期均衡状态。对于 沪深两市A 、B股市场间的引导关系,本文从信息传递和交易者构成的角度进行了 分析。 关键词：Granger因果；协整；共同因子、信息份额；A股；B股 Abstract This article samples on 86 listed companies, which had issued share A and B simultaneously at Shanghai Stock exchange (44 samples) and Shen zhen stock exchange (42 samples) before 2007 .The data we choose are date closing price of each stock from Mar.1 2001 to Mar.1 2007. We test whether there exist price determination between share A and B using Granger causation, permanent-transitory model, and information share model .In short time, we find most of the samples do exist price Lead-lag Relationship between share A and share B at Shanghai stock exchange and Shenzhen stock exchange. But the relationship is different among the samples. The number of Price of share A Predetermined price of share B is the same as the number of Price of share B Predetermined price of share A. A share investors gain a little information advantages. In long time , it was turned out that most of the samples exist long-term stable co-integration relationship among A share and B share, they almost come to state of long equilibrium. we explain the difference from the angle of information-transfer and the constitution of stock trader. Keywords ：Granger Causality ；Co-integration；Mutual Factor ；Information Share；A Share; B Share 目 录 第1 章 前言 1 1.1 本文的研究背景 1 1.2 国内外有关本题的研究现状 2 1.21 国内外学者对两地上市股因果关系研究