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基于VAR模型的上证指数量价关系的实证研究 被引量：1

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摘要 本文通过方差分解和脉冲响应对上证指数交易量与价格之间的关系进行实证分析,发现两者之间存在长期均衡关系,但交易量在一定程度上具有外生性。股价对交易量冲击的反应非常微弱,交易量对股价变化的贡献率也相当有限;而交易量对股价冲击的反应相对较强,股价对交易量变化的贡献率也相对较高。
作者 徐孝思 王敏艳
机构地区 浙江工商大学金融学院 浙江工商大学统计与数学学院
出处 《中国物价》 2009年第5期48-51,共4页 China Price
关键词 交易量 VAR模型 脉冲响应 方差分析
分类号 F832.51 [经济管理—金融学] F832.5 [经济管理—金融学]
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参考文献12

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中国物价
2009年 第5期

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