股市价格指数成交量的单位根及因果关系检验

ADF-test and Granger cause-reason test of Shanghai stock index and transaction volume

对上海证券指数收市价及成交量作了ADF检验 ,发现指数收市价存在有单位根 ,价格服从随机行走模型 ,成交量趋势平稳 ,市场是有效的 .用葛兰杰 (Granger)因果关系检验发现指数收市价增量与成交量增量互为因果关系 ,没有谁变化在先谁变化在后的问题 .

ADF test was applied to test Shanghai Stock Index and its transaction volume. It was found that Shanghai Stock Index close value was a unit root process, the transaction volume was a trend stationary process and the market was efficient. Granger Cause Reason test showed that Shanghai Stock Index close value increase and transaction volume increase turned out to be cause and effect.