上海股市价量关系的实证分析

Empirical Research to Price-Volume Relation-ship in Shanghai Equity Market

我们以上海股市为例 ,对其 10 0个交易日的价格与成交量数据进行了格伦吉-西姆斯因果关系检验与回归分析。我们发现 ,成交量的变化与绝对价格收益之间存在着显著的正相关关系 ,而且还发现 ,尽管A、B股市场存在许多差异 ,但两市场的价量关系并无显著区别。该结论表明 。

We examine the pricevolume relationship in class A and class B shares on the Shanghai Exchange basing on our sample of 100-day data of price and volume. We find a significantly positive relation between changes in volume and absolute price returns in Shanghai market, but no significant difference between the pricevolume correlation in class A and class B shares. This suggests that volume may be important to information transmission in Shanghai equity market.