沪深股市的协整关系分析

uring the proceeding of world economy integration, the main stock markets linkage is more and more obvious in the international security markets. With unit root tests, this paper first analysis the relationship between the share index series of Shanghai and Shenzhen’s stock markets during the period of 2000-2007. It turns out that the two share index series of two markets are 1st difference integrated. And then we will use two stage EG test and Johansen co-integration tests to examine the two share index time series. According to the result of two tests, the consistent conclusion shows that Shanghai stock market has no long equilibrium relationship to Shenzhen stock market.