中国股市量价线性、非线性关系研究

摘要：

This paper examines the relationship between trade price and volume in Chinese stock market. We study time factors which influence the price and volume fluctuation, then we adjust this influence. On the other hand, we divide volume into two parts: the volume which can be anticipated and the volume which can not. And there exist linear and nonlinear relationships between volume which can not be anticipated and price fluctuation. Key Words: Chinese stock market、The relationship between price and volume、GARCH model

关键词： Chinese stock market The relationship between price and volume GARCH model

作者: 刘建和 金雪军

作者单位: 浙江财经学院金融学院,310018；浙江大学经济学院,310027

会议类型: 国际会议

会议名称: 2006年中国国际金融年会

会议地点: 西安

会议语种:中文

在线出版日期: 2006-07-17（万方平台首次上网日期，不代表论文的发表时间）