| 交易频率视角下我国股市量价关系研究 |
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| 引用本文： | 房振明,王春峰.交易频率视角下我国股市量价关系研究[J].系统工程学报,2007,22(4):386-393. |
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| 作者姓名： | 房振明 王春峰 |
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| 作者单位： | 1. 天津大学管理学院,天津,300072;天津渤海证券研究所,天津,300061
2. 天津大学管理学院,天津,300072 |
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| 摘 要： | 从理论上分析了指令驱动市场均衡价格的形成过程,发现了实时交易过程中交易频率对资产价格行为的直接影响,采用上海股市实时分笔交易数据对理论结论进行实证检验.实证结果支持了理论模型中交易频率是影响资产价格波动性的判断,并发现在实时交易过程中交易频率确实是一个市场信息流动表征信号.
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| 关 键 词： | 交易频率 价格行为 信息 |
| 文章编号： | 1000-5781（2007）04-0386-08 |
| 收稿时间： | 2006-03-30 |
| 修稿时间： | 2007-04-22 |
Theoretical and empirical study of relationship between volume and price behavior on the view of transaction frequency |
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| FANG Zhen-ming,WANG Chun-feng.Theoretical and empirical study of relationship between volume and price behavior on the view of transaction frequency[J].Journal of Systems Engineering,2007,22(4):386-393. |
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| Authors: | FANG Zhen-ming WANG Chun-feng |
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| Institution: | 1.sehool of Management, Tianjin University, Tianjin 300072, China; 2. Bohai Securities Co. Ltd, Tianjin 300061, China |
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| Abstract: | Process of equilibrium price forming in the order-driven stock market is analyzed in theory and theoretical research shows that there is a direction relationship between trading frequency and volatility of price behavior.Tick by tick data in Shanghai stock market is utilized to verify theoretical model.The empirical results conform that the judgment which trading frequency affects asset price behavior volatility is correct and trading frequency is a suitable signal of information flow during real-time transaction. |
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| Keywords: | trading frequency price behavior information |
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