| 上海股市信息散布过程实证分析 |
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| 引用本文： | 高金坡.上海股市信息散布过程实证分析[J].数理统计与管理,2005,24(2):108-113. |
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| 作者姓名： | 高金坡 |
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| 作者单位： | 上海财经大学统计学系,200433 |
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| 摘 要： | 本文基于日内高频数据实证分析了上海A股、B股市场的收益率和交易量之间的同时和动态关系,实证结果表明在上海股市信息渐达假说较之混合分布假说更有一定的适用性,而且A股市场的信息不对称程度要大于B股市场,并进而带来了低效率。
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| 关 键 词： | 线性Granger因果关系 交易量 绝对收益率 高频数据 |
| 文章编号： | 1002-1566(2005)01-0108-07 |
| 修稿时间： | 2003年7月4日 |
An empirical study on the information dissemination process in Shanghai stock market |
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| GAO Jin-po.An empirical study on the information dissemination process in Shanghai stock market[J].Application of Statistics and Management,2005,24(2):108-113. |
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| Authors: | GAO Jin-po |
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| Abstract: | This paper empirically analyzed the contemporaneous and dynamic relationships between the return and volume in the Shanghai stock market containing A shares and B shares with higher frequency intraday data. The results giv the evidence that supports the sequential information arrival hypothesis rather than the mixture of distributions hypothesis. And further more the results show that B shares market is characterized by the greater informational asymmetry, which bring it the lower market efficiency. |
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| Keywords: | linear Granger causality volume absolute return higher frequency data |
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