上海股票市场价量因果关系实证研究数量经济专业论文.docxVIP

摘 摘 要 本文壅周数量经滋槿型和统计的方法研究上海股票市场成交量和避墨丝鳖因 果关系以及相关问题。 ／市场信息传递方式是股票市场研究的一项重要内容。作为新兴的股票市场， 中国股市以其特有的运行方式不断完善。和其他证券市场一样，即时市场“信息” ＼，一一。 和长期“信心”是左右中国股市涨跌的核心因素。J本文将重点讨论成交量在“信 息”传递中的作用，／并试图用成交量和市场收益率的关系衡量市场“信息”和“信 心”状况。进一步，根据成交量在“信息”传递中的核心作用，)研究成交量的周 内效应。 第一章从市场基本情况、监管体制变化以及法律法规完善等方面概括上海股 市11年来的发展历程。 第二章描述我们研究数据的统计特征，用协相关系数判断上海股市成交量和 价格的相关关系。第三章用Granger因果检验的思路，验证上海股市收益率和成 交量变化存在随时变化的引导关系。分析引导关系变化与当期市场行情的联系。 第四章从时间序列角度分析Granger因果检验在本研究中的适用性。并在原模型 基础上，添加ARMA项进行模型改进。 第五章检验上海股市以成交量为基础的周内效应。指出单纯从收益角度研究 周内效应的不足。 关键词：上海噤爹市场，价量巷系,Grange。嘤果检验，ARM冬搀型，周电萝应／ AbStractThis AbStract This thesi s uses econometric models and slati stiC method to research on trading vohme and price causal i ty relationship and relative problems in Shanghai S Lock Market． It is an important field to research on the information transmission in the stock market As an emergi ng stock market，Chinese stock market perfects i tsel f gradually with its special operation style．As same as other security market， marketing informaLion on time and long—term confidence is the core to control the marketing v01ati 1 i ty． The thesis will focus on the trading volume effect to the information transmission，and attempt to assess the market information and confidence situation by taking advantage of stock volume．It also covers the research on the day of the week effect on trading volume related the role of trading volume in i nformation transmission． Chapter 1 introduces the development of Shanghai Stock Market based on market situatjon．menitori ng system and laws and regulations during the recent li years． Chapter 2 covers the data slati st ic character that we researched．Chapter 3 finds out the Volume—Price causality relationship with changing of time by Granger causality test and analyzes the telationshiP between the changi ng causality re】ation and market situation at that time．Chapter 4 evaluates the adaptabi l i ty of the Granger causal i ty test i n our research and comp]etes the Keywords：Shanghai Stock Market The relat