基于线性分位数回归的上证综指量价关系的分析  

Study on the Relationship between Shanghai Composite Index Price and Volume Based on Linear Quantile Regression

作　　者：陆雪妮 朱能辉 Lu Xueni;Zhu Nenghui(School of Mathematics and Statistics,Xiamen University of Science and Technology,Xiamen 361024)

机构地区：[1]厦门理工学院数学与统计学院,福建厦门361024

出　　处：《中阿科技论坛（中英文）》2022年第3期68-73,共6页China-Arab States Science and Technology Forum

基　　金：厦门理工学院“科研攀登计划项目”(XPDKT20037)。

摘　　要：基于2014年1月1日到2015年12月31日两年的中国资本市场特殊时期的上证综指数据,对日收益率与日对数交易量的相关关系建立线性分位数回归模型。实证研究表明上证综指的“平均”量价关系过于低估真实的量价关系,而分位数回归模型则更完整详细地反映出不同收益率水平下的各个不同的量价关系,并揭示出股票交易市场的“跟风”效应。Based on the Shanghai Composite Index data in the special period of China’s capital market from January 1st,2014 to December 31st,2015,a linear quantile regression model was established for the correlation between daily return rate and daily logarithm trading volume.The empirical study shows that the“average”volume-price relationship of the Shanghai Composite Index underestimates the real volume-price relationship,while the quantile regression model reflects the different volume-price relationships at different levels of return in a more accurate and detailed manner,and reveals the“following suit”effect of the stock trading market.

关 键 词：分位数回归 上证综指 日收盘价 日交易量 

分 类 号：O212.7[理学—概率论与数理统计] O212.4[理学—数学]