| 基于信息传导与流动性需求的成交量实证分析 |
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| 引用本文： | 邵清静,许冰,陈娟.基于信息传导与流动性需求的成交量实证分析[J].绍兴文理学院学报,2004,24(9):93-95. |
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| 作者姓名： | 邵清静 许冰 陈娟 |
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| 作者单位： | 1. 绍兴文理学院,计算机系,浙江,绍兴,312000
2. 浙江工商大学,统计系,浙江,杭州,310035 |
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| 基金项目： | 浙江省自然科学基金 (70 10 13)，浙江省哲学社会科学规划课题 (NX0 3GL2 8) |
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| 摘 要： | 基于信息传导和流动性需求 ,通过构造一个成交量模型 ,实证得到中国沪深两市大盘指数形成异常成交量的传导方式基本一致 :2 / 3左右源自于信息传导需求 ,略大于 1/ 3源自于流动性 (选股或换股 )需求 ,而通常成交量下的流动性需求仅占 1/ 8左右 ,不同于成熟资本市场中 ,交易量主要是由流动性需求引起的传导机制 .
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| 关 键 词： | 信息传导 流动性需求 异常交易量 |
| 文章编号： | 1008-293X(2004)09-0093-03 |
| 修稿时间： | 2004年6月20日 |
The Experimental Analysis on Volume Model Based on Information Conduction and Liquidity Requirements |
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| Shao Qingjing,Xu Bing,Chen Juan.The Experimental Analysis on Volume Model Based on Information Conduction and Liquidity Requirements[J].Journal of Shaoxing College of Arts and Sciences,2004,24(9):93-95. |
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| Authors: | Shao Qingjing Xu Bing Chen Juan |
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| Institution: | Shao Qingjing1 Xu Bing2 Chen Juan2 |
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| Abstract: | Based on information conduction and liquidity requirements, this paper models stock volumes, and empirically analyzes the conducting ways, and concludes that abnormal volumes are almost coincident in Shanghai and Shenzhen stock markets in china. About two-thirds come from the information conduction and over one-third from liquidity requirements (selected stocks and changed stocks). However, as a rule, the liquidity requirements for volumes are only about one-eighth, which is quite different from the Western Markets where conducting mechanism is trading volumes brought about by liquidity requirements. |
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| Keywords: | information conduction liquidity requirement abnormal volume |
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