JOURNAL OF BEIJING UNIVERSITY OF AERONAUTICS AND A ›› 2005, Vol. 18 ›› Issue (3): 5-7.

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Analysis of Chinese Market Rationality Based on Co-integration

HAN Ze-xian   

  1. School of Management, Tianjin University, Tianjin 300072, China
  • Received:2004-04-21 Online:2005-09-25 Published:2010-10-20
  • Supported by:

    国家杰出青年基金资助项目(70225002)

Abstract:

Rationality represents the maturity of a stock market.In this paper, the author applies co-integration theory to the analysis of specific securities instead of index and finds no co-integrative relation between prices and returns of companies' management.On the basis of this empirical study, the author concludes that the stock market can not reflect the real economy of the company and the behavior of investors is therefore unreasonable.

Key words: cointegration, stock market, rationality, bubbles

CLC Number: