Journal of Management Sciences in China 1672-0334 2001 4 5 article Granger causality analysis of stock markets in China 本文分析了香港、上海和深圳股市的相互关系 .借助 Granger因果关系的思想 ,从收益率与波动性两方面研究了三个股市间的相互联系与互动性 .结果表明 :沪深股市收益率与波动性间存在着很强的相关性 ;沪深股市的变化受香港股市等外来因素的影响很小 ;深圳股市对上海股市存在着显著的 Granger因果关系 This paper analyzes the auto and cross correlations of Hong Kong, Shanghai and Shenzhen stock markets. Based on some econometric techniques, the Granger causality on the cross correlation and co movement of the three stock markets is explored. The results show that there are strong auto correlation, long memory and persistence for the volatility of each of the three stock markets. Hong Kong stock market has little influence on Shanghai and Shenzhen stock markets. Shenzhen stock market has strong Granger causality on Shanghai stock market．but the reversal does not exist． 收益率; 波动性; Granger因果关系; return; volatility; granger causality; 朱宏泉; 卢祖帝; 汪寿阳; jmsc/article/abstract/20010508