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分析上证基金指数和股票指标之间产生的关系,利用脉冲响应来检验。检验结果显示股票市场波动与基金市场行情并非同涨同跌,股票行情容易影响到基金行情的变化,而基金市场行情的波动对股市影响并无相关性,两者市场行情呈现的非对称性关系,股票行情波动强度大于基金市场行情,而基金市场行情难以较长时间带动股票行情的波动。
Analysis of the relationship between the SSE Fund Index and the stock index, the use of impulse response to test. Test results show that the stock market volatility and the fund market is not the same up with the fall, the stock market tends to affect the changes in the fund market, and the volatility of fund market volatility on the stock market has no correlation between the two market asymmetry , The stock market volatility intensity is greater than the fund market, while the fund market is difficult for a long time to drive the stock market fluctuations.