EMPIRICAL STUDY TO THE PRICE VOLATILITY AND INFORMATION FLOW OF CHINA STOCK
This article uses the Cointegration technique of the Econometrics to select the volume of trade and trade times as information flow agent variable and from the point of view of the personal share it makes a empirical study to the relationship between the stock price and the information flow in the bond market. The result indicates that the stock price, trading volume and trading times have the positive correlation.It supports the effect which the trading volume and trading times acting as the information flow agent variables have on the stock price volatility. The result gained has certain reference value to know the microcosmic structure of China stock market and to make the behavior of the market more standard.
Volatility information flow Test of unit root Cointegration vector error modified
YAN-CHUN LIU RU-MEI HAN JING LIU
College of Business Administration, LiaoNing University, Shenyang 110036, China School of Science, Shenyang Architecture University of Science and Engineering, Shenyang 110168, Chi Su jia Tun Branch of Shenyang Broadcasting and TV University, Shenyang 110101, China
国际会议
2006 International Conference on Machine Learning and Cybernetics(IEEE第五届机器学习与控制论坛)
大连
英文
3594-3599
2006-08-13（万方平台首次上网日期，不代表论文的发表时间）