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Analysis of Granger causal relationship between changes in Shanghai, Shenzhen,Hong Kong's stock index time series
Author(s): 
Pages: 373-376
Year: Issue:  3
Journal: Journal of Southwest University for Nationalities(Natrual Science Edition)

Keyword:  时间序列Granger因果关系证券指数;
Abstract: 目的 在于利用时间序列分析理论研究证券市场间Granger因果关系及其变化.以沪、深、港三证券市场每日收盘综指数据为基础,检验其形成的指数时间序列之间Granger因果关系的存在性,据此分析在香港回归前后三市场指数时间序列间Granger因果关系及其变化情况.根据检验表明:(1)各分析时段里香港与上海、深圳间不存在Granger因果关系,而上海与深圳间存在Granger因果关系;(2)各分析时段里三市场间均存在Granger同期因果关系.
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