上证股市价格与成交量关系的实证研究

Empirical Study on Relationship Between Stock Price and Volume of Shanghai Composite Index

基于经济发展新常态、互联网金融快速发展和金融改革的有力推进,通过协整检验、误差修正模型和格兰杰因果检验等计量方法,对2011年1月4日至2016年1月20日1227个交易日的上证股市收盘价和成交量数据进行实证分析.结果表明:上证股市价格与成交量之间存在协整关系,长期来看,上证股市收盘价每增加1%,成交量增长2.534%,影响程度较大;上证股市价格与成交量之间存在由价格到成交量的单向格兰杰因果关系.根据有关分析和结果,给出上证股市稳定发展的相关政策建议.

Based on new normal of economic development,rapid development of Internet finance and vigorous promotion of financial reform,we use the ADF unit root test,co-integration test,error correction model and granger causality test to analyze stock price and volume data of the Shanghai composite index from January 4,2011 to January 20,2016. The results show that there is co-integration relationship between stock price and volume. In the long run,when the stock market’s price increases 1%,the stock volume can rise 2.534%. There is a unidirectional granger causality relationship from stock prices to stock volume. In the end,according to relevant analysis and results,the thesis gives some policies and advices on Shanghai stock market’s steady progression.