股票价格与信息流的协整关系检验

Co-integration test of the suock price and information flow

利用协整技术从个股角度,以成交额作为信息流的代理变量,对证券市场中的股票价格与信息流之间的关系进行了实证检验.实证表明,股票价格与成交额之间存在正的相关关系,这说明平价或预测股票价格时,应该注意对股价有影响的信息或信息的流入过程.

Using Econometrics Co-integration technology with respect to individual stock, trading amounts is treated as variables on information. The relation between stock price in Security market and information is empirically analyzed. The result of Empirical analysis indicates that there is a positive correlation between stock price and trading amounts. As a result, when we evaluate or predict the price of stock, we should pay attention to the influential information or input process of information.