线性Granger因果检验的最佳滞后长度的判定准则——沪、深两市A股市场敏感性比较的实证检验

The kind of Electronic journal ： Capital Market

First Author： 王升 华南农业大学
Second Author：
Third Author：

Post time： 2006-01-23 00:24:45

Userid： swang

The paper has been read 393 times ，The paper has been downloaded: 223

Kind of paper： Woking paper

Subject code： F830.9, F830.91

Abstract:

  We investigate the lags for testing linear Granger causality and obtain a new criterion of the best lags for testing linear Granger causality. Furthermore, we compare the sensitivity between the two A-Stock Markets of Shanghai and Shenzhen Exchange Stocks, and conclude that the A-Stock Market in Shenzhen Exchange Stock is more sensitive than the A-Stock Market in Shanghai Exchange Stock, in the sense of Granger causality.

Key word :  Granger causality, attenuation rate of Granger cause, order of the Granger stable structure