上证指数价量关系的实证研究  

Relations between Trading Volume and Shanghai Composite Index:An Empirical Study

作　　者：姜近勇[1] 潘冠中[2] 龙超[2] 

机构地区：[1]亚利桑那大学Eller管理学院 [2]云南财经大学金融学院,云南昆明650221

出　　处：《厦门大学学报（哲学社会科学版）》2011年第2期17-24,共8页Journal of Xiamen University(A Bimonthly for Studies in Arts & Social Sciences)

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。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 strongest and that the estimated VAR model＇s first - order rag has a significant regression coefficient. A test of Granger causality shows that there is predictability between price and volume, but that the capacity of price to predict volume is stronger. The synchronized causality between market return and trading volume means that trading volume leads to market return in the same way that prices and trading volume rise at the same time.

关 键 词：上证指数收益率 交易量 GRANGER因果关系 同期因果关系 

分 类 号：F830[经济管理—金融学]