深圳股市量价关系的实证分析——经济数学模型的应用

Empirical Analysis of Relation between Price Change and Volume in Shenzhen Stock Market——Application of Economic Mathematics Model

结合投资者情绪的影响,利用脉冲响应函数和方差分解对价量因果关系的动态表现形式作了进一步分析。实证结果表明:深圳股市收益率、收益率波动、投资者情绪这三个变量对股票交易量都有着不同的影响。其中股票收益率和收益率波动对交易量的影响主要是通过对预期交易量来起作用的。

By introducing the impact on investor sentiment,the paper studies the dynamic forms of the causal relation of them using impulse response function and variance decomposition.The results show that Shenzhen Stock Market returns,its volatility and investors＇ sentiment have different impact on these three variables.This paper finds that trading volume is mainly influenced by the returns of stock market and its volatility through the expected volume.