上海证券市场动态量价关系实证分析——基于股票资金流强度

An Empirical Study on Dynamic Relationship among Returns and Strength of Stock Fund Flows in Shanghai Stock Markets

以我国上海股市中股票资金流强度及日收益率为研究对象,在Var模型的基础上,利用Granger因果检验、脉冲响应和方差分解对股票资金流强度与收益率进行实证分析,得出了股票资金流强度不线性Granger引导收益率,但收益率线性Granger引导股票资金流强度的结论。而股票资金流强度与收益率绝对值有双向的线性Granger引导关系.

In Shanghai stock market of our country Strength of Stock Fund Flows and Returns as the research object.Based on Var model,using Granger casuality test,impulse response and variance decomposition to empirical analysis for Strength of Stock Fund Flows and the Returns.The conclusion is that there is a distinctive link between the absolute returns and Strength of Stock Fund Flows on China＇s stock market.