中国股市指数与交易量之间的因果关系研究——基于线性与非线性Granger检验

发布时间：2018-03-06 07:09

本文选题：量价分析　切入点：VAR模型　出处：《金融与经济》2017年09期 　论文类型：期刊论文

【摘要】：作为技术分析常用的基础变量,股市指数与股市交易量之间的相互关系历来都是广泛研究的对象。本文基于最新的中国股市数据,通过构建VAR模型,运用传统的Granger因果检验方法以及最新提出的非线性Granger因果检验方法对中国股市量价关系进行研究。结果表明:沪深两市的股市交易量不是股市指数的线性Granger原因。而股市指数则是股市交易量的线性Granger原因。过滤掉线性因素以后,上海股市不存在从股市指数到股市交易量的非线性Granger因果关系;而在深圳股市中,这种关系在滞后阶数较低的时候依然存在。过滤掉线性因素以后,沪深两市的市场交易量是对应市场指数的非线性Granger原因。并且,这种关系在A股市场和指数之间更为强烈。
[Abstract]:As a basic variable commonly used in technical analysis, the relationship between stock market index and trading volume has always been widely studied. Based on the latest Chinese stock market data, this paper constructs a VAR model. The relationship between volume and price of Chinese stock market is studied by using traditional Granger causality test method and nonlinear Granger causality test method. The results show that the trading volume of Shanghai and Shenzhen stock markets is not the linear Granger cause of stock market index. The stock market index is the linear Granger cause of the trading volume in the stock market. After filtering out the linear factor, The Shanghai stock market does not have a nonlinear Granger causality from the stock market index to the trading volume, but in the Shenzhen stock market, the relationship still exists when the lag order is low. After filtering out the linear factors, The trading volume of the Shanghai and Shenzhen stock markets is the nonlinear Granger reason for the market index. Moreover, the relationship between the A-share market and the index is stronger.
【作者单位】：中央财经大学保险学院中国精算研究院;中国人民大学教育学院;
【分类号】：F832.51

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