上海股市流动性和收益率的动态关系研究

研究流动性与收益率之间的关系是证券市场微观结构理论研究的一个重点。文章采用VAR（向量自回归）方法来考察上海股票市场上流动性与收益率之间的关系。先通过VAR的脉冲响应函数来分析两者之间的影响关系，接着从条件分布的角度探索彼此之间的因果联系。综合考虑实证结果，深入了解上海股市流动性与收益率的变动传递过程。

The research of relations of liquidity,rate of return in shanghai stock market

Researching the relations of liquidity, rate of return is a focus of theoretical research in the microstructure of securities markets. The article used VAR to inspect the relations of liquidity, rate of return in shanghai stock market. Firstly I use VAR impulse response function to analyze the impact relations of the two variables, then researching the causal link of them from the point of conditional distribution. According to the research result, we will deeply understand the transferring process of these two variables in shanghai stock market.