随机视角下股票价格与成交量关系的实证研究  

An Empirical Study on the Relationship between Stock Price and Trading Volume from a Stochastic Perspective

作　　者：何江 罗涛 陈乐川 HE Jiang;LUO Tao;CHEN Lechuan

机构地区：[1]西华大学经济学院

出　　处：《中国证券期货》2022年第2期74-79,共6页Securities & Futures of China

摘　　要：本文基于股票价格几何布朗运动,研究股票市场热度,即股票成交量与股票价格关系,实证结果显示,股票市场成交量与股票价格呈正相关,即股票价格增加,股票市场成交量提高,与股票价格增速呈负相关,即股票价格增速过高导致股票市场成交量减少,与股票价格波动呈正相关,即股票价格波动越大,股票成交量越大。Based on geometric Brownian motion, this paper studies the stock market popularity, that is, the relationship between stock trading volume and stock price.The empirical results show that stock market trading volume is positively correlated with stock price, that is, stock price increases, stock market turnover increases, and there is a negative correlation with stock price growth.That is, the high growth rate of stock prices leads to a decrease in stock market trading volume, which is positively correlated with stock price fluctuations, that is, the higher the stock price fluctuations, the greater the stock trading volume.

关 键 词：几何布朗运动 成交量 股票价格 

分 类 号：F83[经济管理—金融学]