上海股市流动性、收益率、交易量三者关系探讨

The Research of Relations Iiquidity,Rate of Return and Trade-amount in Shanghai Stock Market

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.