基于VAR模型对上海股市价量关系的实证分析  

An Empirical Analysis of Relationship between Price and Quantity of Price-Volume Relationship in Shanghai Stock Market Based on VAR Model

作　　者：方锦雯 王志[1] FANG Jinwen;WANG Zhi(School of Science,Ningbo University of Technology,Ningbo,Zhejiang,315211,China)

机构地区：[1]宁波工程学院理学院,浙江宁波315211

出　　处：《宁波工程学院学报》2020年第1期32-36,共5页Journal of Ningbo University of Technology

基　　金：国家自然科学基金(11701304);宁波市自然科学基金(2019A610041);浙江省大学生科技创新活动计划暨新苗人才计划(2018R428027)。

摘　　要：通过建立VAR模型对2016年1月至2017年9月上证指数股票的数据进行分析,根据Granger因果检验结果得出价、量之间存在双向因果关系。利用脉冲响应函数与方差分解,检验了在短时期内股价和成交量之间有相互影响关系,显示出股价对于成交量的影响较成交量对于股价的影响更强。By establishing VAR model to analyze the data of Shanghai stock index from January 2016 to September 2017 and based on the Granger causality test results,it was found the Granger causality test results showed that there is a two-way causality between bids and volumes.Using impulse response function and variance decomposition,the mutual influence between stock price and trading volume in a short period of time was tested,and the results show showing that the influence of stock price on trading volume is stronger than that of trading volume on stock price.

关 键 词：价量关系 VAR模型 GRANGER因果关系 脉冲响应函数 

分 类 号：O212[理学—概率论与数理统计]