An Empirical Analysis on Co-integration Relationship Between Stock A Index And Stock B Index in Shanghai and Shenzhen Stock Market

With co-integration theory of econometrics put into application,this article makes comparative analysis on the long-term equilibrium coordinating relationship between stock A index and stock B index in Shanghai and Shenzhen stock market,before and after domestic investors be allowed to participate B stock (market.) The result supports the conclusion that the situation of segmentation of stock A market and stock B market in China has been improved.This article explains the differences between Shanghai stock market and Shenzhen stock market from the angle of contents,processing,digesting and delivering of information.