金融系优秀毕业论文

本 科 毕 业 论 文

创业板市场与主板市场的协整关系研究Study on the Cointegration Relationship between the Growth Enterprise Market and

the Motherboard Market

学 院： 商学院 专业班级： 金融学 金融081 学生姓名： 沈雨纯 学 号： 060871120 指导教师： 刘强（讲师）

2012 年 06 月

毕业论文中文摘要

创业板市场与主板市场的协整关系研究 摘 要：2009年10月30日，我国创业板市场在经历了十年之久的筹建后，终于在深圳证券交易所正式开板。在我国宏观经济的大背景下，创业板市场的启动对构建多层次的、成熟的资本市场具有重大的推进作用，使我国实体经济中的众多中小型企业更加有效的筹集运作资本，可以说，创业板的开启是我国经济发展到一定阶段的产物，是历史的必然，具有很强的现实意义。 但是很多人担心创业板的推出可能会让主板市场“受到伤害”，给主板市场造成一定的冲击。因此本文中，以创业板指数和上证指数为研究对象，利用单位根检验、协整关系和格兰杰因果关系检验等计量模型，对数据进行定量分析，证明两板市场相互间存在（1,1）协整关系，从而说明我国创业板与主板市场相互间的均衡关系是长期的，与发达的资本市场相比，我国两板市场相互独立性较差，我国的资本市场还不完善。 关键词：创业板市场；主板市场；单位根检验；协整检验；误差修正模型

毕业论文外文摘要

Study on the Cointegration Relationship between the Growth Enterprise Market and the Motherboard Market Abstract: After a decade-long preparation ,China's GEM market finally built up on the Shenzhen Stock Exchange board officially on October 30, 2009. In the backdrop of China's macroeconomic,the launch of the GEM market has a major role in the promotion to build a multi-level and matual capital market of China. The GEM market provides a new financing channel for many small or medium enterprises in China's real economy,it could be said that, the launch of the GEM is arising from China's economic development when it attained a certain stage,it is also a historical necessity, which has a great practical significance. But many people worry about the launch of the GEM may hurt the motherboard market,which may have a certain impact on the motherboard market.Therefore,in this article,according to the GEM Index and the Shanghai Composite Index, we make a quantitative analysis of the data by using the unit root tests, cointegration and Granger causality testing, and other models of metrology.So that we could prove that there are (1,1) cointegration relationship between the two board.That is,the long-term equilibr- -ium relationship between the GEM and the motherboard did exist.Compared with developed capital markets,the independence of our two board is relatively poor.So that our capital market is not perfect. Keywords: GEM;The Main Board;unit root test;cointegration;ECM

目 录

1 绪论 .......................................................................................................................... 1 1.1 本文研究背景及意义 ........................................................................................... 1 1.2 文献综述 ............................................................................................................... 1 1.3 本文研究思路 ....................................................................................................... 2 2创业板市场与主板市场简述 ..................................................................................... 3 2.1 创业板市场 ........................................................................................................... 3 2.2 主板市场 ............................................................................................................... 3 3协整理论介绍 ............................................................................................................. 4 3.1 协整的定义 ........................................................................................................... 4 3.2 协整的检验方法 ................................................................................................... 5 3.3 格兰杰因果关系检验 ........................................................................................... 6 3.4 误差修正模型（ECM） ...................................................................................... 6 4实证分析与研究 ......................................................................................................... 6 4.1 变量的选取与数据的来源 ................................................................................... 6 4.2 对原始数据进行平稳性检验 ............................................................................... 7 4.3 协整关系检验 ....................................................................................................... 9 4.4 建立误差修正模型 ............................................................................................. 10 4.5 格兰杰因果关系检验 ......................................................................................... 11 4.6 实证结果分析 ..................................................................................................... 12 结 论 .......................................................................................................................... 14 参 考 文 献 ................................................................................................................ 15 致 谢 .......................................................................................................................... 17