CAJ | 학술논문

文章选取上证指数和深成指数的收益率数据，使用时间序列分析的方法，利用向量自回归模型（VAR）及脉冲响应函数探讨了两个股市之间波动相关性的问题，得到两个市场存在明显的联动关系，通过上证综指滞后五期的收益可以预期深圳成指当期的收益，同样，通过深圳成指滞后六期的收益可以预期上证综指的当期收益．
문장선취상증지수화심성지수적수익솔수거，사용시간서렬분석적방법，이용향량자회귀모형（VAR）급맥충향응함수탐토료량개고시지간파동상관성적문제，득도량개시장존재명현적련동관계，통과상증종지체후오기적수익가이예기심수성지당기적수익，동양，통과심수성지체후륙기적수익가이예기상증종지적당기수익．
The fluctuating correlation between Shanghai and Shenzhen stock market is discussed in this article by making analysis of the earning rate data of Shanghai Composite Index and Shenzhen Component Index using time series analysis, the vector auto--regressive （VAR） model and impulse response function. The result shows that there is a significant correlation between the two markets. The current income of Shenzhen Stock Exchange Component Index can be anticipated by the last five--period income of Shanghai Stock Exchange Composite Index, and likewise, the current income of Shanghai Stock Exchange Composite Index can be anticipated by the last six--period income of Shenzhen Stock Exchange Component Index.