| 沪深股市量价因果关系实证研究 |
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| 引用本文： | 周观君,王瑞泽.沪深股市量价因果关系实证研究[J].统计与信息论坛,2005,20(6):46-49,58. |
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| 作者姓名： | 周观君 王瑞泽 |
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| 作者单位： | 1. 中国银行业监督管理委员会江苏监管局,统计信息处,江苏,南京,210004
2. 山东省德州学院,计算机系,山东,德州,253000 |
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| 摘 要： | 文章考察了1994~2004年沪深股市不同性质交易量与收益率及其绝对值的Granger因果关系。研究发现:在上海市场上,原始交易量、预期交易量、非预期交易量与收益率只存在收益率至交易量的单向因果关系,非预期交易量中超过均值部分与收益率存在双向因果关系;而这四种交易量与收益率绝对值都存在双向因果关系。在深圳市场上,只存在收益率及其绝对值至交易量的单向因果关系。
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| 关 键 词： | 股票市场 价格 交易量 Granger因果关系 |
| 文章编号： | 1007-3116(2005)06-0046-04 |
| 修稿时间： | 2005年4月25日 |
Empirical Study on the Causality Between Price and Trading Volume in Shanghai and Shenzhen Stock Markets |
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| ZHOU Guan-jun,WANG Rui-ze.Empirical Study on the Causality Between Price and Trading Volume in Shanghai and Shenzhen Stock Markets[J].Statistics & Information Tribune,2005,20(6):46-49,58. |
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| Authors: | ZHOU Guan-jun WANG Rui-ze |
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| Institution: | ZHOU Guan-jun~1,WANG Rui-ze~2 |
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| Abstract: | The paper reviews the Grange causality between stock trading volume and price changes and then draws some conclusions.In Shanghai stock market,there have only single-direction Grange causality which goes from return to the original trading volume,predictable volume,and unpredictable volume.But there is a(bi-directional) causality between return and unpredictable above-average trading volume.On the other hand,there all have bi-directional causality between absolute value of return and all of the four volumes.In Shenzhen stock market,there have only single-direction causality that goes from return or its absolute value to all of the four volumes. |
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| Keywords: | Stock market Price Trading volume Grange causality |
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