基于内幕交易下的中国股市量价因果关系分析被引量：7

An Analysis of the Stock Price-volume Relationship in Insider Trading in China's Stock Market

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摘要本文对内部交易下的中国股票市场的价格和交易量进行了因果关系分析,通过基于Taylor展开的非线性因果关系检验发现,内幕交易股票存在由收益到成交量的单向因果关系,说明内幕交易者以低的成本通过信息传播影响股价,操纵市场交易来获得利润。 In this paper, new nonlinear causality test based on Taylor expansion is proposed to seek the dynamic relationship between return and volume in insider trading in China's stock market. Results of tests show return series is the cause of volume series. A general procedure is suggested for causality test as a conclusion.

作者唐齐鸣张学功

机构地区华中科技大学经济学院金融系

出处《数量经济技术经济研究》 CSSCI 北大核心 2005年第6期95-100,134,共7页 Journal of Quantitative & Technological Economics

关键词内幕交易量价因果关系非线性因果关系检验 Insider Trading price-volume relationship Nonlinear Causality Test

分类号 F831 [经济管理—金融学]

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参考文献12

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