本研究主要目的為探討上海與深圳A、B 股股價指數與成交量是否已建立長期之均衡關係與價格發現上的功能。首先以ADF 單根檢定發現，上海與深圳A、B 股股價指數經一階差分後則成為定態，滿足進行共整合檢定之要件，而上海與深圳A、B 股成交量原始數列則為定態數列。根據共整合之檢定結果發現不管上海或深圳股價指數間或股價指數與成交量間配對並不存在共整合關係，代表股價指數間或股價指數與成交量間不具有穩定的長期均衡關係。其次，以Granger 因果關係模式研究發現上海與深圳股市之A、B 股價間不存在因果關係，但指數與成交量間則具有雙向之因果關係存在。再其次，以預測誤差變異數分解發現上海與深圳市場A、B 股指數受其自身期數之相互關係影響能力大，而比較不受成交量的影響。最後，以衝擊反應函數，發現上海A 股指數在其成交量改變時，調整速度較上海B 股指數調整速度為快，代表大陸證券A 股市場成交量在其指數改變時，調整速度較大陸證券B 股市場成交量為快。 In this paper, we examine the relationship between A index and B index, and between index and volume of trade in China's stock market including Shanghai and Shenzhen stock market. The empirical findings show that all stock indexes in both markets are stationary under first difference, but volume of trade at level are stationary. From the results of Johenson co-integration test, there are no significant evidence of cointegration in the pairwise data of Shanghai's both indexes and Shenzen's both indexes respectively. While no Granger causality can be identified between A and B index in both markets, there are significant feedback relationship between index and volume of trade for each index in both markets. From the results of variance decomposition and impulse responses, telling us that when the volume of trade changes, A indexes effect themselves most and response quickly than B indexes.
