沪指与阿里巴巴的关联性实证研究——基于VAR模型

An Empirical Research on the Relevance between Shanghai Stock Index and Alibaba—Based on VAR Model

摘要: 本文选取了上海证券交易所综合股价指数(简称上证指数或沪指)以及在国内市值最高的公司——阿里巴巴网络技术有限公司(简称阿里巴巴)的股价日收益率作为研究对象，通过向量自回归的方法，对阿里巴巴集团以及沪指做关联性分析。对阿里巴巴和沪指的收益率序列拟合VAR模型，创新性的发现沪指收益率受到阿里巴巴收益率的单向引导作用，并通过脉冲响应分析发现阿里巴巴的收益率对沪指收益率有正的冲击效应，通过方差分析发现沪指收益率受阿里巴巴收益率的冲击较大，在模型内部大约有93%的方差可以由它自身解释，有7%的方差可以由阿里巴巴收益率的变化解释。

Abstract: This article selects the Shanghai Stock Exchange Composite Stock Index (Shanghai Stock Index or Shanghai Index) and the company with the highest market capitalization in China, Alibaba Network Technology Co., Ltd. (Alibaba) as the research objects. Through the method of vector autoregression, the correlation analysis of Alibaba Group and the Shanghai Stock Index. Fitting the VAR model to the return sequence of Alibaba and the Shanghai Index, innovatively found that the return of the Shanghai Stock Index is guided by Alibaba’s one-way rate of return, and found that Alibaba’s return is positive to the return of the Shanghai Stock Index through impulse response analysis. Through the analysis of variance, it is found that the yield of Shanghai Stock Index is greatly impacted by the yield of Alibaba. About 93% of the variance can be explained by itself, and 7% of the variance can be explained by the change of Alibaba’s yield.