作　　者： ; ;

机构地区： 中国矿业大学

出　　处： 《郑州航空工业管理学院学报（管理科学版）》 2004年第2期77-81,共5页

摘　　要： 利用 1 998年 3月 2日至 2 0 0 4年 3月 2日的数据对沪深两市A股的量价之间的关系进行了实证研究。对交易量和价格数据的平稳性检验发现价格指数在一阶差分后平稳 ;Johansen协整分析发现交易量及其变动率和价格指数、收益率、日内价格波动率、当日开盘价和前日收盘价之间均存在一阶以上的协整关系 ;利用GARCH类模型再次验证了沪深两市的量价关系无显著不同的结论 ,同时发现日内价格波动率、当日开盘价和前日收盘价之差等均对交易量有显著的影响。 Using the daily trading volume and price index data of stock A from March 2,1998 to March 2,2004 from Shanghai and Shenzhen Stock Market,this paper proceeds empirical researches on price-volume relationship. First it tests stationary of these data with ADF unit root test,finding that volume data is stationary while price index data is not. But the first difference of price index data is stationary. It finds co-integration relationship of order one or more between volume or volatility of volume and price index, return rate, or price volatility within a day, or gap between open market price index and last close market price index with Johansen Co-integration Test. It also finds two-side casual relationship between volume and price index with error correction model. Finally, it reverified the conclusion that no obvious difference between volume-price relationship between Shanghai and Shenzen Stock market with GARCH model. Furthermore, it finds that price volatility within a day and gap between open market price index and last close market price index have significant effect on volume.

关 键 词： 中国 股票市场 股 交易量 价格

领　　域： [经济管理]