市场间相关证券价格行为的相互影响

应用 Granger因果关系检验方法研究了我国证券市场上相关证券 :同一公司的股票和可转换债券、A股和 B股 ,两者价格行为的相互影响。采用天内交易数据检验的结果表明 ,股票价格对转换债券价格有引导作用 ,而 A股和 B股的价格则有相互引导作用。通过分析有信息交易者的交易行为 ,对此现象进行了解释。

Interaction of the Securities'' Price Behaviors among Chinese Inter-Markets

There are some securities, for example,stocks and convertihle bonds, A shares and B shares,whose prices are related in the securities' markets.This paper investigates the interaction of the securities' price behaviors by employing Ganger Causality Test.Based on intra day data,the test result shows that the return of stock leads to that of convertible bond; but the relation between A shares and B shares is not so simple.Both can be explained by the behavior of informed traders,whose investment decisions are made partially on the liquidity and volatility of different securities.