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本文根据2005￣2006年期间的周度数据,运用单位根检验与协整分析技术对上海上证综合指数、香港恒生指数和美国道琼斯工业指数之间的是否存在协整关系进行了实证分析。结果发现,上证指数和另外两个指数之间不存在协整关系,而恒生指数与道琼斯工业指数之间存在协整关系。这一结论是符合三地资本市场之间实际运行状况的。
Based on the weekly data from 2005 to 2006, this paper empirically analyzes the existence of cointegration relationship between Shanghai SSE Composite Index, Hong Kong Hang Seng Index and Dow Jones Industrial Index using the unit root test and cointegration analysis techniques. The result shows that there is no cointegration relationship between the SSE Index and the other two indices, and there is a cointegration relationship between the Hang Seng Index and the Dow Jones Industrial Average. This conclusion is consistent with the actual operation of the capital markets between the three places.