| 基于Granger检验的上海A股量价关系动态分析 |
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| 引用本文： | 高辉. 基于Granger检验的上海A股量价关系动态分析[J]. 河北经贸大学学报, 2010, 31(4) |
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| 作者姓名： | 高辉 |
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| 作者单位： | 成都理工大学,商学院,四川,成都,610059 |
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| 摘 要： | 以上海股票市场为研究对象,运用OLS、单位根检验、Granger因果检验等方法,从交易量与价格变动之间的动态相关关系视角,剖析了中国股市股票价格和成交量之间的关系特征。研究发现,中国股票市场上股票价格对交易量之间存在显著的因果关系,说明中国股票市场上的价格波动和成交量之间包含了对股价预测有用的信息,它对技术分析提供了一定的理论基础。
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| 关 键 词： | 股价 交易量 Granger检验 |
A Dynamic Analysis of the Relationship between Stock Price and Volume on Shanghai Stock Exchange with Granger Causality Test |
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| Gao Hui. A Dynamic Analysis of the Relationship between Stock Price and Volume on Shanghai Stock Exchange with Granger Causality Test[J]. Journal Of Hebei University Of Economics and Trade, 2010, 31(4) |
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| Authors: | Gao Hui |
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| Abstract: | This article takes Shanghai Stock Exchange as the research object and uses OLS,unit root testing,Granger causality test and other methods to analyze the relationship between stock price and trading volume from the perspective of the linkage between price change and trading volume.The conclusion is that there is a distinctive link between the stock price and trading volume on China's stock market.The trading volume can in some way be used to predict the price change,offering some theoretical foundation for technological analysis. |
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| Keywords: | stock price trading volume Granger testing |
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