摘要
本文选取股权分置改革后的数据,通过协整、误差修正模型、Granger因果检验和脉冲响应函数对股价和交易量之间的关系进行了全面深入的研究,得出股价对交易量的影响大于交易量对股价的影响。
This paper makes a comprehensive and in-depth research on the relationship between the stock price and the trading volume after split-share reform with the methods of co-integration, error correction model, Granger causality tests and impulse response function. The empirical results show that the effect of the stock price on the trading volume is greater than that of the trading volume on the stock price.
出处
《北方经贸》
2008年第8期93-95,共3页
Northern Economy and Trade
关键词
上证综指
交易量
协整
脉冲响应函数
Shanghai Composite Index
trading volume
co-integration
impulse response function
