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基于一种新的非线性协和检验方法(秩检验方法),探讨了2005年1月11日至2009年3月27日我国上证综指与世界主要发达国家(美国、日本、德国与英国)以及“金砖四国”中其余三个国家的股指协同关系,并与传统线性协和检验方法——Johansen协和检验进行了比较。结果发现,股指间更多具有非线性协和关系,即秩检验能够检测到更多的非线性协和关系,从而提供了更多的关于经济变量间存在线性(非线性)协和关系的信息。
Based on a new non-linear concordance test (rank test method), this paper discusses the relationship between the Shanghai Composite Index and the major developed countries in the world (USA, Japan, Germany and UK) from January 11, 2005 to March 27, 2009 and “BRIC ” in the other three countries, the symbiotic relationship between the stock index and traditional linear concordance test method - Johansen concordance test were compared. The results show that there is more non-linear symbiotic relationship between the index, that is, the rank test can detect more non-linear synergy, which provides more information about the existence of linear (non-linear) synergy between economic variables.