论文部分内容阅读
研究流动性与收益率之间的关系是证券市场微观结构理论研究的一个重点。文章采用VAR(向量自回归)方法来考察上海股票市场上流动性与收益率之间的关系。先通过VAR的脉冲响应函数来分析两者之间的影响关系,接着从条件分布的角度探索彼此之间的因果联系。综合考虑实证结果,深入了解上海股市流动性与收益率的变动传递过程。
Studying the relationship between liquidity and profitability is a key point in the study of the microstructure theory of securities market. The article uses VAR (vector autoregressive) method to examine the relationship between liquidity and return on the Shanghai stock market. Firstly, the impulse response function of VAR is used to analyze the relationship between the two. Then, the causality of each other is explored from the perspective of conditional distribution. Taking into account the empirical results, a thorough understanding of the Shanghai stock market liquidity and the rate of change of the transfer process.