CAJ | 학술논문

运用向量自回归模型、格兰杰因果关系检验、脉冲响应、方差分解及协整分析对我国创业板市场、主板市场及中小板市场联动性进行研究。研究结果表明：创业板市场与主板市场存在联动性，主板市场对创业板市场、中小板市场具有先行引导作用；沪深300指数市场波动受创业板市场波动的影响较大，而创业板市场波动的原因主要来自于其自身；沪深300指数与中小板指数存在协整效应，表明二者存在长期均衡关系。上述实证结论对研究者探讨新兴资本市场与传统资本市场之间的关系，监管当局厘清三资本市场的定位，投资者制定合理的投资策略具有重要的现实意义。
운용향량자회귀모형、격란걸인과관계검험、맥충향응、방차분해급협정분석대아국창업판시장、주판시장급중소판시장련동성진행연구。연구결과표명：창업판시장여주판시장존재련동성，주판시장대창업판시장、중소판시장구유선행인도작용；호심300지수시장파동수창업판시장파동적영향교대，이창업판시장파동적원인주요래자우기자신；호심300지수여중소판지수존재협정효응，표명이자존재장기균형관계。상술실증결론대연구자탐토신흥자본시장여전통자본시장지간적관계，감관당국전청삼자본시장적정위，투자자제정합리적투자책략구유중요적현실의의。
This paper undertakes researches on the co-movement among growth enterprise market (GEM), main-board market and small and medium-sized board market by such methods as vector auto regression model,Granger causality test,impulse response,variance decomposition and cointegration analysis. The results show co-movements between main-board market and GEM:the main-board market guides the growth enterprise market and small and medium-sized board market;the volatility of Shanghai and Shenzhen 300 Index is affected greatly by the GEM,while the GEM’s volatility is mainly affected by itself;there is cointegration effect between Shanghai and Shenzhen 300 Index and the Small and Medium-sized Board Index,showing that they have long term equilibrium relationship. For researchers,the empirical findings have an important significance to the research of the relation between emerging capital market and traditional capital market,form which regulatory authorities can clarify the position among three capital market and investors may lay reasonable basis for investment strategy.