摘要
本文通过对2001年-2011年上证指数数据进行投资策略模拟,研究历史价量关系信息在中国股票市场价格发现中是否比纯粹的历史价格信息更有效。采用向量自回归模型(VAR)和结构向量自回归模型(SVAR)比较代表历史价量信息的EMV指标与单纯价格信息的MACD指标的投资绩效,研究历史价量信息和价格信息的动力学关系。研究结果显示,交易量信息在中国股票市场的价格发现中比历史价格信息更有效。
Investment decisions are simulated to compare the performance of the strategies based on MACD and EMV.Then,VAR and SVAR are employed to build dynamic relationship between stock market return,MACD and EMV.MACD is a proxy which only provides price information,but EMV is an overall proxy of price information and trading volume information.Whether overall information is more valid than pure historical price information in the process of stock market price discovery is the focus of this paper.Data used in this paper is Shanghai Composite Index in 2001-2011.The conclusion of this paper shows that strategies based on EMV which is the overall proxy is more valid.
出处
《中国管理科学》
CSSCI
北大核心
2013年第S1期346-354,共9页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(71102110
71172171
71140006)
