经济学专业专业毕业论文下载.docVIP

毕 业 论 文 学生姓名 袁翼 学 号 330407051 院 (系) 文通学院 专 业 经济学 题 目 地产行业指数与沪综合指数随动走势 的GRANGER因果检验实证分析 指导教师 夏仕亮 讲师/硕士 2008 年 5 月  摘要：随着我国证券市场的飞速发展，出现了各种各样的股价指数，如沪深300指数、上证180指数、深证100指数、各行业指数等。在国内的A股市场中，各行业指数与大盘指数呈现出越来越明显的共同运动的趋势，为了研究其相关性，本文以近两年多的地产行业指数与沪综合指数为例，运用计量经济学中时间序列分析中的格兰杰因果检验方法，对两个变量在此期间的数据进行实证分析，分析结果表明：地产指数与沪综合指数存在协整关系且地产指数是沪综指的Granger原因，沪综指对于地产指数有很强的Granger因果关系，他们存在双向因果关系。 关键词：相关性分析，单位根检验，格兰杰因果关系检验，协整检验 Abstract: As the development of China’s stoke market, all kinds of stock price indexes have appeared, such as Shanghai and Shenzhen 300 index, Shanghai stock exchange 180 index, Shenzhen stock exchange 100 index, and industry index. In the domestic Shanghai stock market, the industry index and market index show a tendency of changing together, and this tendency is getting more and more obvious. In order to know the relevance between them, this paper will empirically analyze the data of those two variables during recent two years, taking the real estate index and Shanghai stock market index as example and using the Granger causality test which is branched from time sequence?analysis of the quantitative economics. The result shows that there is a co-integration relationship between the real estate index and Shanghai stock market index. It also shows that the real estate index is the Granger cause to Shanghai stock market index. The latter has a strong Granger causality relationship with the former. There exists a two-way causality between them. Keyword: relativity analysis, ADF test, Granger causality, co-integration test 目 录 1 引言…………………………………………………………………………3 2 变量与数据…………………………………………………………………3 3 理论与方法…………………………………………………………………4 3．1 时间序列的平稳性检验概念和原理…………………………………4 3．2 协整关系检验的概念和原理…………………………………………5 3．3 格兰杰因果关系检验的概念和原理…………………………………5 4 实证分析……………………………………………………………………6 4．1 相关性分析……………………………………………………………6 4．2 FDC和HZZ的平稳性检验 ……………………………………………6 4．3 FDC和HZZ的协整检验 ……………………………………………11 4．4 FDC和HZZ的GRANGER因果检验 …………………………………12 结论……………………………………