Study of the Price Behavior on China Stock Market——A-share in Shenzhen and Shanghai Stock Markets
Study of the price behavior on Chinese stock market is a important part of Chinese security market research. In this paper we divide Chinese stock price behavior and its impact factors into two parts: rational and irrational,choose indexes separately,use VAR model to quantitative research on the relationship between stock price behavior and its impact factors. Combined with Pulse-response function and figures of empirical results,we find that real economy GDP,new investor number and money supply amount which we chose have great impact on stock price behavior. GDP and new investor number have lagged effect on stock price behavior; however money supply amount has timeliness intensifying effect on it. Through variance decompositions we find stock index has significance effect on new investor numbers which means common investors have obvious irrational behaviors.
stock price behavior granger test Pulse-response function variance decompositions
HUANG Zhenxin
School of Finance,Renmin University of China,Beijing,China,100872
国际会议
大连
英文
563-569
2011-06-30（万方平台首次上网日期，不代表论文的发表时间）