本文首先對滬深兩市的日收益率進行相關性分析和描述性統計，再進行單根檢定，再進一步利用隱性因數模型驗證兩市的整合性。研究結果表明，兩市的日收益率存在很高的相關性，兩市是具有整合性的。且深市的收益率的波動性，對系統風險的敏感程度都要高於滬市。且相對於滬市，深市的收益率更容易由本文設定的風險因數所預測。本文還發現兩個市場都存在顯著為負的“星期四效應”。

This study firstly applies descriptive statistics to study correlation between the returns of two markets. Secondly we use cointegrating test and Latent Variable Model to verify the integration of two stock markets. The result shows that the two market are integrated, and the return of Shenzhen market is more predictable and fluctuates more than that of Shanghai market. Moreover, we find “Thursday effect” exists in both markets.

目錄
摘要 ⅰ
Abstract ⅱ
目錄 ⅲ
第一章 緒論 1
1.1 研究動機 2
1.2 研究目的 6
1.3 論文架構 7
第二章 文獻回顧 8
第三章 研究方法 13
3.1 模型設定 13
3.2 應用舉例 16
3.3 計量方法 18
第四章 實證結果 21
4.1資料來源 21
4.2 單根檢驗 23
4.3 隱性因數模型 24
第五章 結論 28
參考文獻 29

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