Reseaching The Relationship Between Quantity And Price Based On ADL Model, The Intervention Model And VAR Model

In this paper, ADL model, intervention model and the VAR model, the ShanghaiComposite Index and Shenzhen Component Index and Trading Volume (shares) study,the first volume for the stock index and cointegration, and then two months themarket data (January 2000 to September 2010) established the ADL model andintervention model, and then the two-day market data (January 2, 2008 to October 18,2010) the establishment of VAR models and using Eviews 6.0 software to estimate theparameters short-term forecasting, impulse response analysis and variancedecomposition. The results showed that:First, for monthly data: Shanghai (Shenzhen) for every 1 percent increase inmarket turnover, the market index on the growth of 0.458111 percent; ShanghaiComposite mainly by the volume and lag 3 lag one of their own; deep into refers tothe main volume by lag 3, lag 1 and lag their No. 5 of the two market indices aresubject to interference items (financial crisis) the impact; ADL model fittingprediction model combined intervention was more ideal.second, the daily data: tape volume and the market index does exist between thelinkage relationship. Current value of the Shanghai stock market turnover index andvolume of its own lagged by 1, 2, 3, effects, and increase with the lag impact of theircurrent trading volume more and more weak; the other hand, the Shanghai Compositecurrent turnover and their own values lagged by 1, 2, 3, the impact of turnoverlagged 1 had the greatest impact. Shenzhen volume is subject to its current value andthe index of lagging impact of 1-4, on the contrary, Shenzhen Component Index alsosubject to volume and its lagged impact of 1-4, but no significant lagged effects of thelaw.third, the impulse response analysis (daily data) indicate that: Shanghai(Shenzhen) Index, a market turnover of the new interest rate immediately increasedthe standard deviation of 0.18 (0.22) a unit of volume, the volume of a standarddeviation of its new immediate increase in interest rates 0.006 ( 0.006) unit volume;the two cities on the volume index of a standard deviation of the innovation have a strong response to the second phase, an increase of 0.07 (0.06) index units, thestandard deviation of the index itself a new interest rate immediately increased 0.021( 0.024) units index. In the variance decomposition (daily data) show that theShanghai stock market on the stability of the good than the Shenzhen stock market.