基于VAR-Copula模型的股价、交易量的相依结构

易文德

系统工程理论与实践 ›› 2011, Vol. 31 ›› Issue (8) : 1470-1480.

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系统工程理论与实践 ›› 2011, Vol. 31 ›› Issue (8) : 1470-1480. DOI: 10.12011/1000-6788(2011)8-1470
论文

基于VAR-Copula模型的股价、交易量的相依结构

    易文德
作者信息 +

Dependence structure between the stock price and the trading volume based on the VAR-Copula model

    YI Wen-de
Author information +
文章历史 +

摘要

基于向量自回归(vector autoregression, VAR)误差修正模型, 结合Copula理论建立VAR-Copula模型研究股市指数与交易量之间的Granger因果关系和相依结构. 通过对三个股票市场的实证分析, 发现各市场的指数与交易量之间存在长期的协整关系和由指数到交易量的单向因果关系; 指数对数收益率与交易量对数差分的相依关系复杂, 既有正的相依成分也包含负的相依结构, 且都表现为上尾高的非对称的相依特征.

Abstract

It is an important subject to study the dependence relationship between the stock price and the trading volume in financial field. It not only need to investigate Granger’s causality relation and relational measure but also to study the dependence structure between them. Based on the VAR error correction model and associated with copula technique, a VAR-Copula model is structured to research the Granger’s causality relation and the dependence structure between the stock price and the trading volume. The empirical study to three stock markets finds that there is a long-rang co-integration between stock price index and the trading volume and a unilateral Granger causality relationship from stock price to the trading volume, and also finds that the complex dependence relationship between the stock price index logarithmic returns and the trading volume logarithmic difference is positive dependence as well as negative dependence and the asymmetrical dependence structure with higher upper tail to all stock markets.

关键词

股价指数 / 交易量 / Granger因果关系 / 相依结构 / VAR-copula模型

Key words

stock price index / trading volume / Granger’s causality relation / dependence structure / VARCopula model

引用本文

导出引用
易文德. 基于VAR-Copula模型的股价、交易量的相依结构. 系统工程理论与实践, 2011, 31(8): 1470-1480 https://doi.org/10.12011/1000-6788(2011)8-1470
YI Wen-de. Dependence structure between the stock price and the trading volume based on the VAR-Copula model. Systems Engineering - Theory & Practice, 2011, 31(8): 1470-1480 https://doi.org/10.12011/1000-6788(2011)8-1470
中图分类号: O212    F830.91   

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基金

教育部人文社会科学基金(08JA790142; 09XJA88001);重庆市教委科学技术研究项目(KJ111211)

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