基于VAR模型的上海股市价量动态关系的实证研究

Empirical Study of the Dynamic Relation between Price and Trading Volume in Shanghai's Stock Market with the Help of VAR Model

文章首先对上证综指的收益率和交易量数据序列建立VAR模型,然后借助脉冲响应分析、方差分解以及Granger因果检验方法进行了实证研究。结果表明:上海股市中的价量之间存在双向Granger线性因果关系,并且二者之间的动态关系是非对称的,收益率对交易量的冲击大于交易量对收益率的冲击。

First we establish VAR model on price and volume in Shanghai composite index. Then we study them by using impulse response function （IRF） and variance decomposition （VD） and Granger causality test method. The result shows that linear Granger causal relationship exists between the return and volume. It also indicates that the dynamic relationship of them is non - symmetrical, the impact of the return to volume is more than the impact of volume to return.