牛熊转换视角下股票市场量价关系实证分析

An Empirical Study of the Relationship Between Volume and Price From Bull Stock Market to Bear Stock Market

从介绍股票发展历史背景出发,论述我国股票市场现行相关交易制度。首先分析股票市场交易现状,从交易额、交易量、投资者水平、监管层和股票指数几方面深入认识股票市场,尤其是交易量和股票价格。然后分牛市、熊市和震荡市三阶段进行实证研究,探讨交易量对股票价格的影响。一方面采用描述性统计、单位根检验和Granger因果检验研究成交量对股票价格指数的影响,另一方面对比分析牛市、熊市和震荡市三阶段影响结果的不同,找出三个阶段股票价格运行规律和产生这些不同的原因。最后对于研究的结果进行总结,提出牛市、熊市和震荡市三阶段投资者进行股票买卖的投资策略,针对我国股票市场运行的现行制度分析其适应情况并提出相关对策建议。

The historical background of stock development is introduced to detail the relevant trading system of stock market in China.First of all,the stock market transaction status,trade volume,transaction volume,level of investor,regulatory layer and stock index are analyzed,especially the trading volume and stock price.Then,three stages which are bull market,bear market and concussion market are analyzed from the perspective of transaction volume to study the impact of stock price.On the one hand,descriptive statistics,unit root test and Granger causality test study the impact of volume on the stock price index.On the other hand,the difference between the impacts of three stages is compared to find out the stock price movement and the different reasons.Finally,the results of the study are summarized to point out the investment strategy of the three stages.The current system of the stock market operation is suitable for China and suggestions are given.