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流动性、公司规模和帐面市值比的Granger因果性研究
A Study on Granger Causality Between liquidity and firm size and book-to-market ratio
摘要点击 2702  全文点击 0  投稿时间:2010-07-23  修订日期:2011-12-27
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中文关键词  流动性;公司规模;帐面市值比;VAR模型;Granger 因果性检验
英文关键词  liquidity; firm size; book-to-market ratio; VAR model; Granger causality test
基金项目  
作者单位E-mail
ZHANG Wei 天津大学 zhangwei@nsfc.gov.cn 
zhou fang 天津大学 fzhou@tju.edu.cn 
中文摘要
      基于VAR模型采用Granger 因果性检验方法研究了流动性、公司规模和帐面市值比之间的动态关系。研究结果表明,公司规模和帐面市值比之间、公司规模波动和账面市值比波动之间、换手率和非流动性比率之间不存在Granger 因果关系,即其中一个变量不受到另一个变量的滞后影响。而在考虑了换手率和非流动性比率后公司规模对账面市值比存在着显著的Granger 因果关系。换手率与公司规模波动之间则存在双向Granger 因果关系。虽然换手率(TURN)、非流动性比率(ILLIQ)和公司规模(SIZE)波动各自对账面市值比(BM)波动没有明显影响,但当滞后期足够长(12个月)时三者的联合对账面市值比(BM)波动产生显著影响。
英文摘要
      This paper studied the dynamic relationships between the liquidity and firm size and book-to-market ratio by Granger causality test based on VAR model. The results show that there are no Granger causal relations between firm size and book-to-market ratio, between the volatilities of firm size and book-to-market ratio, between turnover and illiquidity ratio, that is, the lagged variable of one variable does not affect another variable. And firm size has strong Granger causality on book-to-market ratio after turnover and illiquidity ratio are considered,but the reversal does not exist. The test also proves that there is bilateral Granger causality between turnover and the volatility of firm size. Though turnover and illiquidity ratio and the volatility of firm size have no obvious effect on the volatility of book-to-market ratio respectively, all three variables together have a significant impact on the volatility of book-to-market ratio when lag intervals are long enough(12 months).
相关附件:   (编号: 20100723004)流动性、公司规模和帐面市值比的因果性研究(修改说明)  稿件修改说明(20100723004).doc  修改稿2010723004文件夹.rar  20100723004修改说明12.doc  20100723004修改说明 Microsoft Word 文档.doc  2010723004(修改稿).rar  20100723004修改说明 Microsoft Word 文档.doc  2010723004(修改稿).rar
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