| 上证指数价量关系的实证研究 |
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| 引用本文： | 姜近勇,潘冠中,龙超.上证指数价量关系的实证研究[J].厦门大学学报(哲学社会科学版),2011(2). |
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| 作者姓名： | 姜近勇 潘冠中 龙超 |
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| 作者单位： | 1. 亚利桑那大学Eller管理学院,美国
2. 云南财经大学金融学院,云南昆明,650221 |
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| 摘 要： | 资产价格与成交量之间具有一定的相关关系.通过引入Geweke(1984)总结的两种因果关系概念及计量模型框架,可对上证指数收益率和它的交易量之间的Granger因果关系和同期因果关系进行实证研究.研究结果表明,在上证A股综合指数成交金额、成交股数和换手率这三种交易量指标中,成交股数与收益率的相关性最强,并且估计出的VAR模型的一阶滞后项回归系数显著.Granger因果检验显示价量之间有预测能力,不过价对量的预测能力更强一些.收益率与成交股数的同期因果关系为成交股数同期导致收益率,表现为量价齐升.
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| 关 键 词： | 上证指数收益率 交易量 Granger因果关系 同期因果关系 |
Relations between Trading Volume and Shanghai Composite Index: An Empirical Study |
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| JIANG Jin-yong,PAN Guan- zhong,LONG Chao.Relations between Trading Volume and Shanghai Composite Index: An Empirical Study[J].Journal of Xiamen University(A Quarterly for Studies in Arts & Social Sciences),2011(2). |
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| Authors: | JIANG Jin-yong PAN Guan- zhong LONG Chao |
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| Institution: | JIANG Jin-yong1,PAN Guan-zhong2,LONG Chao2(1.Eller School of Management,University of Arizona,USA,2.School of Finance,Yunan University of Finance and Economics,Kuming 650221,Yunnan) |
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| Abstract: | There is a correlation between asset price and trading volume.An empirical study has been conducted using Geweke's(1984) two concepts concerning causality and his framework of econometric model.Results from this empirical study of Granger causality and synchronized causality between trading volume and Shanghai Composite Index(SCI) show that among the three trading volumes(i.e.turnover of A-share of SCI;trading volume and turnover Rate) the correlation between trading volume and market return is the stronges... |
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| Keywords: | market return of SCI trading volume Granger causality synchronized causality |
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