| 基于量价关系的股票价格分布模型探析 |
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| 引用本文： | 王立民,陈雪婧,黄静.基于量价关系的股票价格分布模型探析[J].北京科技大学学报(社会科学版),2014,30(5):103-109. |
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| 作者姓名： | 王立民 陈雪婧 黄静 |
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| 作者单位： | 北京科技大学东凌经济管理学院,北京,100083;北京科技大学东凌经济管理学院,北京,100083;北京科技大学东凌经济管理学院,北京,100083 |
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| 摘 要： | 基于量价关系,用交易量的分布解释收益率的分布情况。分别探讨了预期交易量、非预期交易量与收益率之间的关系,发现交易量和收益率有明显的正相关关系;收益率对预期交易量以及非预期交易量都有解释作用,但无论是预期交易量还是非预期交易量对收益率都没有显著的解释作用,但是从统计量分布上看,前者的分布能够解释后者的分布。
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| 关 键 词： | 量价关系 股票价格分布 交易量 收益率 Granger因果关系检验 |
Stock Price Distribution Model Based on the Relationship between Volume and Price |
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| WANG Li-min,CHEN Xue-jing,HUANG Jing.Stock Price Distribution Model Based on the Relationship between Volume and Price[J].Journal of University of Science and Technology Beijing(Social Sciences Edition),2014,30(5):103-109. |
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| Authors: | WANG Li-min CHEN Xue-jing HUANG Jing |
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| Institution: | ( Dongling School of Economics and Management, University of Science and Technology Beijing, Beijing 100083, China ) |
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| Abstract: | Based on the price-volume relation, the paper explains the distribution of the rate of return using the distribution of volume. We respectively discuss the relationship between the expected volume and the rate of return, and the unexpected volume and the rate of return. It is found that there is a significant positive correlation between the trading volume and the rate of returns, and that the rate of return can explain the effect on expected trading volume and unexpected trading volume, and either expected trading volume or unexpected trading volume can explain the effect on the rate of return. The volume in the data shows no obvious effect on the rate of return, but from the statistical characteristics, the distribution of the former can explain the distribution of the latter. |
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| Keywords: | price-volume relation distribution of stock price trading volume rate of return Granger causality test |
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