中国股市价量关系的分量回归分析  

Analysis of Quantile Regression about the Relationship between Price and Volume of China Stock Markets

作　　者：李萍[1] 任亚[1] 

机构地区：[1]西安财经学院,陕西西安710100

出　　处：《数理统计与管理》2011年第6期1097-1103,共7页Journal of Applied Statistics and Management

摘　　要：研究股票市场收益率与成交量之间的动态关系,对于了解股票市场的信息传导机制、微观结构和进一步规范市场行为具有重要意义。本文运用分量回归方法对中国股市上证指数和深成指数2001年1月至2010年9月的交易数据进行实证研究,结果发现:收益率与成交量之间呈现显著的正向动态关系,且具有不对称性。The research on the dynamic relationship between the stock market return and volume has great significance for learning the transmission mechanism of stock market information, the microstructure and further standardize the market behavior. This paper based on the method of quantile regression analysis the China＇s Shanghai Index and Shenzhen Component Index transaction data from January 2001 to September 2010. The results showed that： it has the significant positive dynamic relationship and asymmetry between the return and volume.

关 键 词：价量关系 分量回归 换手率 

分 类 号：F272[经济管理—企业管理] O212[经济管理—国民经济]