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通过一般状态空间模型和VECM验证了东亚两大经济大国之间的股价指数的波动关系,为国际分散投资提供参考.通过对上证综合指数,上证B股指数和日经股票指数分时期进行单位根检验,结果表明一阶差分平稳,是一阶单整列,可以作协整分析.并且通过对其卡尔曼滤波进行线递推计算,以自适应方式跟踪时序列变化,利用残差进行VECM的计算,其结果表明只有上证B股对日经Top-ix有单向影响.
Through the general state-space model and VECM, this paper verifies the fluctuation relationship of the stock price index between the two big economic powers in East Asia, and provides a reference for the international diversified investment.Through the unit root of the SSE Composite Index, the SSE B Composite Index and the Nikkei Stock Index The results show that the first-order differential is stable and the first-order single-integer sequence can be used for co-integration analysis. The Kalman filter is recursively estimated and tracked by time series adaptively. The residuals are used to calculate VECM. The result shows that only Shanghai B-shares have a one-way impact on Nikkei Top-ix.