北京大学学报(自然科学版)

4种汇率和4种股指的协整分析

唐洪敏, 孙召利   

  1. 北京大学概率统计系,金融数学系,北京,100871
  • 收稿日期:2002-07-17 出版日期:2003-09-20 发布日期:2003-09-20

A Cointegration Analysis among Four Exchange Rates and Four Stock Indices

TANG Hongmin, SUN Zhaoli   

  1. Dept.of Prob.& Statist.and Dept.of Finan.Math., Peking University, Beijing, 100871
  • Received:2002-07-17 Online:2003-09-20 Published:2003-09-20

摘要: 讨论了两个实际数据集的长远关系。一个是1994年1月3日至1995年6月5日美元对德国马克,日元,瑞士法郎和先令4种汇率数据集。另一个是1994年1月4日至1997年7月31日的4种股票指数:道琼斯工业平均指数,纳斯达克综合指数,日经指数和香港恒生指数。最终发现存在协整关系的有:德国马克与瑞士法郎,道琼斯工业平均指数与恒生指数,纳斯达克综合指数与恒生指数。

关键词: 协整, 小波序列, 最小二乘

Abstract: The long run relationships of two empirical data sets are investigated respectively.The first one is the exchange rates of Duetsche Mark(Mark), Japanese Yen(Yen), Swiss France(Sf) and Sterling (Ster) between January 3, 1994 and June 5, 1995. Thesecond dataset is the four stock indices between January 4, 1994 and July 31, 1997: Dow Jones Averages 30 Industrials (DJI), Nasdaq composite (IXIC), Nikkei 225(N225) and Hengseng (HSI). In the end there exist cointegrations between Mark and Sf, DJI and HSI, IXIC and HSI.

Key words: cointegration, wavelet sequence, least squares

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