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研究股票市场收益率与成交量之间的动态关系,对于了解股票市场的信息传导机制、微观结构和进一步规范市场行为具有重要意义。本文运用分量回归方法对中国股市上证指数和深成指数2001年1月至2010年9月的交易数据进行实证研究,结果发现:收益率与成交量之间呈现显著的正向动态关系,且具有不对称性。
Studying the dynamic relationship between stock market returns and trading volume is of great significance for understanding the information transmission mechanism, microstructure and further regulating market behavior in the stock market. This paper uses the component regression method to empirically study the transaction data of Shanghai Stock Index and Shen Cheng Index from January 2001 to September 2010 in China Stock Market. The result shows that there is a significant positive dynamic relationship between return rate and volume, Asymmetry.