论文部分内容阅读
本文运用多变量共整合方法对沪深两市进行假设检验,考查其到底是整合的还是分割的,它们具有相同的还是不同的风险特征?实证研究表明沪深两市是整合的,但是它们并不具有相同的风险特征。这意味着沪深两市都是在信息上没有效率的。本文的政策含义是政府应该逐步将两市合并成为一个有效运行的全国性的证券交易所,因为人为的市场分割会导致股价的扭曲、违规交易、股市容易被人操纵等现象,这会使市场变得更加没有效率。
In this paper, we use the multivariate co-integration method to test the hypothesis in Shanghai and Shenzhen stock markets to test whether they are integrated or divided, and whether they share the same or different risk characteristics. Empirical studies show that the Shanghai and Shenzhen stock markets are integrated. However, Do not have the same risk characteristics. This means that the Shanghai and Shenzhen stock markets are not efficient in terms of information. The policy implication of this article is that the government should gradually merge the two cities into a nationwide stock exchange that can operate effectively because the artificial market segmentation will lead to distortions in the share price, illegal trading and easy manipulation of the stock market, Become more inefficient.