• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Physica, A. Statistical mechanics and its applications >Testing for relationships between Shanghai and Shenzhen stock markets: A threshold cointegration perspective
【24h】

Testing for relationships between Shanghai and Shenzhen stock markets: A threshold cointegration perspective

机译：检验上海和深圳股市之间的关系：阈值协整角度

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

We investigate the relationships between Shanghai and Shenzhen stock market, and reveal the evidence of cross-correlations between the two stock markets. Our main findings show that Shanghai and Shenzhen stock market are cointegrated, and also present the evidence of strong error-correction effect in the short-rate equation, whereas the point estimate for the error-correction term is small and not statistical significance in the long-rate equation. Finally, Shanghai stock market ECT coefficient shows the evidence of long-term equilibrium in the first regime, while in the second regime the coefficient of correction term is larger than that of the first regime, indicating the rate convergence to long-term equilibrium is not uniform.
机译：我们调查了上海和深圳股市之间的关系，并揭示了两个股市之间相互关联的证据。我们的主要发现表明，上海和深圳股市是协整的，并且在短期利率方程中也显示出强大的误差校正作用，而对于误差校正项的点估计很小，并且从长远来看没有统计学意义。速率方程。最后，上海股票市场的ECT系数显示了第一种情况下长期均衡的证据，而在第二种情况下，校正项的系数大于第一种情况下的校正系数，表明速率收敛至长期均衡并没有制服。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号