摘要
采用VAR(向量自回归)方法考察上海股票市场上流动性与收益率、交易量之间的关系。综合考虑理论计算结果和实证结果,可以作出判断:交易量和收益率导致流动性变动的因果关系显著,反之,因果关系并不显著。
With VAR,the relation between Liquidity, rate of return and trade amount is reviewed in Shanghai stock market. The changes of rate of return and trade-amount directly result in the change of liquidity. Conversely, the causality is not notable.
出处
《长江大学学报(社会科学版)》
2007年第4期79-81,共3页
Journal of Yangtze University(Social Sciences Edition)