上海股市价量关系的实证分析

An Empirical Analysis on the Interaction of Price and Trading Volume of Shanghai's Stock Market

价量关系是技术分析的核心 ,与技术分析的有效性密切相关。对上证综合指数价格与成交量的协整分析 ,表明它们之间存在长期的均衡关系——协整关系 ,即系统存在经济机制制约着价格与成交量之间的变动 ;误差修正模型得出短期偏离向长期均衡的校正速度 ;价格与成交量之间的格兰杰因果关系检验进一步说明价量关系有统计基础 ;动态分析给出了价量之间交互影响的具体特征的描述。

The interaction of price and trading volume is the basis of technical analysis. Using cointegration analysis, I find that there exits a long run equilibrium between the price and trading volume of Shanghai's stock market; Error Correction Model shows the speed of adjustment from short run bias to long run equilibrium; Granger causality test gives further proof; and dynamic analysis describes the specification of the interaction.