中国A股市场价量关系实证研究.pdfVIP

摘 要 本文以中国A股市场为研究对象，以实证分析为主要方法，结合规范分析， 运用线性回归模型、Granger因果检验、GARCH（1，1）模型等方法对中国A股 市场量价的静态、动态相关关系以及股价的条件波动性与成交量之间的关系进行 了深入剖析。 本文共分四章。第一章为绪论，主要介绍论文选题的背景和意义，主要采用 的研究方法和文章结构的安排。第二章回顾了国外量价关系的相关理论模型。第 三章是对上海和深圳两地证券市场三种股票指数分段进行的实证分析。第四章是 对全文的总结和建议。 研究发现，我国股市量价变化之间不仅存在静态依存关系，而且存在显著的 动态依存关系，成交量中引起股价变化的主要是非预期成交量。这说明我国A 股市场上成交量的确包含了与价格变化相关的重要信息，从而否定了市场的有效 性。同时，也说明我国A股市场仍与西方成熟市场存在很大差距。 关键词： 中国A股市场 量价关系 Granger检验 GARCH（1，1）模型 5 Abstract This paper investigates the relationships between return rate and trading volume of Chinese Stock Market. Empirical analysis is the main method in the paper, and Normative analysis is also used. The paper consists of four chapters. The first chapter is an introduction about the background and meaning of this paper as well as main research methods and framework of the paper. The second chapter reviews theory models in an outside china. The third chapter carries through the Empirical analysis. The last chapter gives the conclusion and suggestion. We find that there is a kind of notable static as well as dynamic interdependence between the trading volume and return rate. Especially, expectable trading volume plays an important role. The trading volume of Chinese Stock Market includes important information about return rate movement, and then denies the validity of Chinese Stock Market. At the same time, there is still great difference between Chinese Stock Market and western mature Stock Market. Key words: Chinese Stock Market, Price-volume Relation, Granger Causality Test， GARCH （1，1）Model