上海证券市场价格与交易量关系实证分析

Empirical analysis of relationship between price and trading volume in Shanghai Securities Market

价量关系研究作为揭示证券交易过程基础性变量之间内在联系的课题,对于发现证券市场交易特征和内在运行规律具有一定的现实意义,并对交易机制改进提供理论指导。文章基于信息理论模型中的混合分布假设(MDH),在运用Granger因果关系检验法对上海证券市场价量关系进行分时段分析的基础上,得出结论认为上海证券市场通过交易机制变革在一定程度上推进了市场整体运行效率的提升,交易量特别是信息交易量对于价格变动的解释能力逐步增加,存在价量之间双向的Granger因果关系,并据此提出了具体的交易机制改进对策。

Being the study on inner link of the basic variables of securities exchange process,the relationship between price and trading volume research has practical significance to discover the market trading characteristics and operation regulations,and provides the theoretical guide to the market trading mechanism improvement.Based on MDH(Mixture Distribution Hypothesis),the authors carry out time division study on Shanghai Securities Market's relationship between price and trading volume using Granger cause & effect inspection method and draw the conclusions that the market lies in the two-way price and trading volume Granger cause & effect relationship,and that the market quality gains remarkable development due to trading mechanism reform.This paper also points out trading volume,especially information trading volume,which has increasing explanation ability to price variation.In the end,the authors provide concrete countermeasures on further trading mechanism reform.