摘要
从集合竞价的交易机制的信息传递角度出发,利用因果检验方法找出影响开盘价形成的因素,认为前一日交易的收盘价是最主要的影响因素。利用协整技术建立关于开盘价和收盘价的协整模型,并运用该模型进行事后预测对其有效性进行检验。同时,对该模型成立的原因进行经济分析,并指出其股票价格的发现功能。
In terms of informatio transmission mechanism for collective ＆ competitive bidding, the paper discusses the factors influencing opening price with the method of tests for causality. It condudes that closing price of the former trading day is the main factor. Co - integration model about the opening price ＆ the dosing price is set up to teat the volidity of this model. It then analyzes the cause of the model and the function of searching stock price.
出处
《商业研究》
北大核心
2006年第12期156-158,共3页
Commercial Research
关键词
集合竞价
因果检验
协整
collective ＆ competitive bidding
causality test
co- integration
