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随着中国资本市场的发展和国际化进程的加快,上证指数和深证指数作为市场兴衰的风向标,各自的波动情况及其之间的关系越来越受到投资者及相关学者的关注。本文基于VAR模型和协整理论,使用1998年1月9日至2013年4月3日上证综合指数和深证综合指数周收盘价的数据,运用单位根检验,格兰杰因果检验,脉冲反应等计量经济学理论对二者的联动关系进行分析及修正,为有关决策者和投资者提供参考了依据,具有重要的理论和现实意义。
With the development of China’s capital market and the acceleration of internationalization, the Shanghai Stock Exchange Index and the Shenzhen Stock Exchange Index are the benchmark for the rise and fall of the market. Their respective fluctuations and their relations have drawn more and more attention from investors and relevant scholars. Based on VAR model and cointegration theory, using the data of weekly closing price of Shanghai Composite Index and Shenzhen Composite Index from January 9, 1998 to April 3, 2013, unit root test, Granger causality test, impulse response Such as econometric theory to analyze the relationship between the two and amend the relevant policy makers and investors to provide a reference, has important theoretical and practical significance.