| 沪深两市收益率与成交量因果关系的实证研究 |
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| 引用本文： | 王明照,郭冰.沪深两市收益率与成交量因果关系的实证研究[J].数学的实践与认识,2006,36(9):23-27. |
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| 作者姓名： | 王明照 郭冰 |
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| 作者单位： | 1. 同济大学经济与管理学院,上海,200092
2. 上海新世纪资信评估投资服务有限公司,上海,200001 |
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| 摘 要： | 以上证综合指数和深证成分指数的日收益率及日成交量为研究对象,应用协整理论和G ranger因果关系,考察了两市指数日收益率与日成交量变动率的相互关系,并得出结论.
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| 关 键 词： | 协整 Granger因果关系 成交量 |
| 修稿时间： | 2004年6月15日 |
The Empirical Research on Causality Between Return and Transaction Volume in Shanghai and Shenzhen Stock Market |
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| WANG Ming-zhao,GUO Bing.The Empirical Research on Causality Between Return and Transaction Volume in Shanghai and Shenzhen Stock Market[J].Mathematics in Practice and Theory,2006,36(9):23-27. |
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| Authors: | WANG Ming-zhao GUO Bing |
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| Abstract: | This paper researches on the daily returns and transaction volumes of Shanghai Stock Index and Shenzhen Component Index,applies the theory of cointegration and Granger causality to analyze and conclude the relation between the daily returns and transaction volumes in the two stock markets. |
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| Keywords: | cointegration granger causality transaction volume |
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