上海股票市场收益率与成交量因果关系研究

A Research of the Causality between Return Rate and Trading Volume in Shanghai Stock Market

线性因果关系检验结果表明,在股市得到快速发展和市场交易制度改善后,我国股市量价因果关系阶段性异质特征明显,我国股票市场量价关系从因果关系不显著发展为具有双向因果关系。同时,非线性因果关系检验也得到类似的结论,不同之处在于在取消涨跌停板制度后的第二阶段,虽然不存在交易量对收益的线性因果关系,但存在非线性格兰杰因果关系。所有检验结果表明我国股市在交易制度转变后,市场结构也同时发生了根本变化。

The linear Granger causality tests show that after the quick development and the perfection of trading system the momentary heterogeneity characteristic of the causality between volume and price in the stock market of our country is very obvious ;the relationship between volume and price in the stock market of our country developed from unobvious causalty to double - direction causalty. At the same time non - linear causality tests reach similar conclusion. The difference lies in that in the second stage after the rise and fall limit was cancelled non - linear Granger causalty exists though linear causalty between trading volume and return doesn＇t exist, All the test results show that after the change in trading system fundamental changes have taken place in the market structure of the stock market of Our country.