沪深股市量价因果关系实证研究  

Empirical Study on the Causality Between Price and Trading Volume in Shanghai and Shenzhen Stock Markets

作　　者：周观君[1] 王瑞泽[2] 

机构地区：[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

出　　处：《统计与信息论坛》2005年第6期46-49,58,共5页Journal of Statistics and Information

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.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.

关 键 词：股票市场 价格 交易量 GRANGER因果关系 

分 类 号：F830.91[经济管理—金融学]