| 沪市股票量价关系研究——基于E-G两步法和脉冲响应函数 |
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| 引用本文： | 卞家涛,LI Tao,蒋硕. 沪市股票量价关系研究——基于E-G两步法和脉冲响应函数[J]. 北方经贸, 2008, 0(8) |
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| 作者姓名： | 卞家涛 LI Tao 蒋硕 |
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| 作者单位： | 安徽财经大学,安徽,蚌埠233041 |
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| 摘 要： | 本文选取股权分置改革后的数据,通过协整、误差修正模型、Granger因果检验和脉冲响应函数对股价和交易量之间的关系进行了全面深入的研究,得出股价对交易量的影响大于交易量对股价的影响。
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| 关 键 词： | 上证综指 交易量 协整 脉冲响应函数 |
The Relationship between Shanghai Stock Price and Trading E-G and Impulse Response Function Approach |
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| BIAN Jiatao,LI Tao,JIANG Shuo. The Relationship between Shanghai Stock Price and Trading E-G and Impulse Response Function Approach[J]. Northern Economy and Trade, 2008, 0(8) |
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| Authors: | BIAN Jiatao LI Tao JIANG Shuo |
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| Abstract: | This paper makes a comprehensive and in-depth research on the relationship between the stock price and the trading volume after split-share reform with the methods of co-integration,error correction model,Granger causality tests and impulse response function.The empirical results show that the effect of the stock price on the trading volume is greater than that of the trading volume on the stock price. |
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| Keywords: | Shanghai Composite Index trading volume co-integration impulse response function |
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