Relationship between stock index and increments of stock market trading accounts

被引：0
|
作者：
Zheng, Zhenlong [1 ]
Liu, Yangshu [1 ]
机构：
[1] Xiamen Univ, Dept Finance, Xiamen 361005, Peoples R China
来源：
ADVANCES IN BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING | 2008年 / 5卷
关键词：
Stock index; Increments of trading accounts; Granger causality;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we study the relationship between stock index and increments of trading accounts in A, B share market and funds. Regression on daily data shows that there exists bilateral relationship between A, B index and their trading accounts increments. However, Granger causality only exists from stock index to increments of funds accounts. In comparison, when using weekly data, only increments of funds accounts Granger cause the stock index. These uncover the differences between fund managers and small investors while investing on stock market. We also analyse the relationship between index volatility and trading accounts volatility.
引用
收藏
页码：92 / 97
页数：6
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