| 金融危机前后中国股市价量关系实证分析 |
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| 引用本文： | 王月荣,佟孟华.金融危机前后中国股市价量关系实证分析[J].辽宁工程技术大学学报(社会科学版),2012(3):271-274. |
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| 作者姓名： | 王月荣 佟孟华 |
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| 作者单位： | 1. 东北财经大学研究生学院,辽宁大连116025
2. 东北财经大学数学与数量经济学院,辽宁大连116025 |
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| 基金项目： | 辽宁省教育厅科学研究基金资助项目(W2011109);辽宁省社会科学规划基金资助项目(L11DJY048) |
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| 摘 要： | 为了研究金融危机爆发前后中国股票市场价格和成交量之间的关系,将上证指数分为金融危机之前和金融危机之后两个子时段,运用Granger因果检验初步探究二者关系,进而使用ARMA模型将交易量划分为不同的类型,并分别加入到GARCH模型中进行实证。研究发现:金融危机前后两时段的价量关系有相同之处,在量对价的解释程度方面也存在差异。
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| 关 键 词： | 价量关系 Granger因果关系 GARCH模型 ARMA模型 成交量分解 |
Empirical study of price-volume relation before and after the financial crisis |
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| WANG Yuerong,TONG Menghua.Empirical study of price-volume relation before and after the financial crisis[J].Journal of Liaoning Technical University(Social Science Edition),2012(3):271-274. |
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| Authors: | WANG Yuerong TONG Menghua |
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| Institution: | 1.Graduate School,Dongbei University of Finance and Economics,Dalian 116025,China;2.School of Mathematics and Quantitative Economics,Dongbei University of Finance and Economics,Dalian 116025,China) |
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| Abstract: | In order to study the relation between the stock price and trading volume on Chinese stock market,Granger causality test was used to explore the initial relation between the two periods—the period before and the period after the financial crisis—of Shanghai stock market index.ARMA model was then adopted to divide the trading volume into different types which were then tested respectively by the GARCH model.Analyses found that there are similarities in trading volume between the two periods and differences in the interpretation of price based on volume. |
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| Keywords: | price-volume relation Granger causality GARCH model ARMA model trading-volume decomposition |
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