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《Mathematics in Practice and Theory》 2008-11
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Study on Dynamic Price Relationships Between Small and Large Stocks in China

WANG Qing-shi1,ZHU tian-xing1,2,SONG Yong-hui2(1.Department of Mathematics and Quantitative Economics of Dongbei University ofFinance and Economics,Dalian 116023,China)(2.Economicschool of Shenyang University of Technology,Shenyang 110178,China)  
This paper investigates long-term dynamic relationship of 22 iron listed stocks of China Shenzhen and Shanghai stock market,which includes 12 large stocks and 10 small stocks,according to differential information set. We find that the relationship between small and large stocks is cointergation in bull market phase.There exists lead-lag relationship between large stock and small stock returns in bear market phase.We give some practical suggestion on operations.
【CateGory Index】: F832.51
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