中国A股量价之间动态关系的实证研究

An Empirical Study of Dynamic Relationship between Volume and Price in China's Stock Market

本文采用了VAR模型以及Granger因果检验的方法来考察量价之间的动态相关关系。我们选定1996年12月16日至2008年12月31日作为样本研究区间,实证发现滞后期的交易量和收益对当前期交易量与收益的解释力度存在下降趋势;同时,交易量同收益之间由收益对交易量的单向引导发展为双方互为Granger原因。本文得到的交易模式的动态演变轨迹反映了我国投资者式逐步趋于理性成熟。

The studies on the relationship between volume and price always play an important role in the micro finance. This article uses VAR model and Granger causality test methods to investigate the dynamic relationship between volume and price. We pick up a sample period from December 16, 1996 to December 31, 2008, and our empirical results reveal that the explanation power of lagged volume and price to the current volume and price is declining. Meanwhile, the early single directional Granger causality relationship between volume and price become double directional. Our findings prove that domestic A-Share market is developing rapidly and investors are becoming more and more rational.