An Empirical Research on Dynamic Relationship Between Yield Rate and Trading Volume in China's Stock Markets

被引：0
|
作者：
Qian, Tingting [1 ]
Qiu, Yizhen [1 ]
机构：
[1] Nanjing Univ Aeronaut & Astronaut, Jincheng Coll, Nanjing, Jiangsu, Peoples R China
来源：
PROCEEDINGS OF 2016 2ND INTERNATIONAL CONFERENCE ON HUMANITIES AND SOCIAL SCIENCE RESEARCH (ICHSSR 2016) | 2016年 / 70卷
关键词：
Stock market; yield rate; trading volume; dynamic relationship;
D O I：
暂无
中图分类号：
C [社会科学总论];
学科分类号：
03 ; 0303 ;
摘要：
Based on the econometric methods such as Vector Autoregressive model (VAR), Impulse Response Function (IRF) and Granger Causality Test, this paper investigates the dynamic relationships between yield rate and trading volume in Shenzhen and Shanghai stock markets. The study indicates that there is a strong mutual explanatory power between trading volume and yield rate. And the closer the historical trading day to current date is, the stronger the mutual explanatory power becomes. Furthermore, the Granger Causality Test shows that there is a bi-directional causality between yield rate and trading volume.
引用
收藏
页码：218 / 222
页数：5
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