科技和产业
科技和產業
과기화산업
SCIENCE TECHNOLOGY AND INDUSTRIAL
2015年
3期
124~127
,共null页
股票资金流强度 Granger因果检验 脉冲响应 方差分解
股票資金流彊度 Granger因果檢驗 脈遲響應 方差分解
고표자금류강도 Granger인과검험 맥충향응 방차분해
strength of stock fund flows; Granger casuality test; impulse response; variance decomposition
以我国上海股市中股票资金流强度及日收益率为研究对象,在Var模型的基础上,利用Granger因果检验、脉冲响应和方差分解对股票资金流强度与收益率进行实证分析,得出了股票资金流强度不线性Granger引导收益率,但收益率线性Granger引导股票资金流强度的结论。而股票资金流强度与收益率绝对值有双向的线性Granger引导关系.
以我國上海股市中股票資金流彊度及日收益率為研究對象,在Var模型的基礎上,利用Granger因果檢驗、脈遲響應和方差分解對股票資金流彊度與收益率進行實證分析,得齣瞭股票資金流彊度不線性Granger引導收益率,但收益率線性Granger引導股票資金流彊度的結論。而股票資金流彊度與收益率絕對值有雙嚮的線性Granger引導關繫.
이아국상해고시중고표자금류강도급일수익솔위연구대상,재Var모형적기출상,이용Granger인과검험、맥충향응화방차분해대고표자금류강도여수익솔진행실증분석,득출료고표자금류강도불선성Granger인도수익솔,단수익솔선성Granger인도고표자금류강도적결론。이고표자금류강도여수익솔절대치유쌍향적선성Granger인도관계.
In Shanghai stock market of our country Strength of Stock Fund Flows and Returns as the research object.Based on Var model,using Granger casuality test,impulse response and variance decomposition to empirical analysis for Strength of Stock Fund Flows and the Returns.The conclusion is that there is a distinctive link between the absolute returns and Strength of Stock Fund Flows on China＇s stock market.
