中文摘要：

实证检验沪深A、B股市场日收益和交易量之间的线性和非线性Granger因果关系。由于序列存在非线性结构可能使检验发现的仅是一种伪Granger因果。我们着重考察运用APGARCH模型过滤后股市收益和交易量之间的线性和非线性Granger因果。研究表明，上证A、B和深证A股市场收益和交易量之间互为线性Granger因果，深证B股仅存在从收益到交易量的线性Granger因果；上证A股市场交易量是收益的非线性Granger引导，深证B股市场收益和交易量之间互为非线性Granger引导。研究发现沪深A、B股市场收益和交易量之间具有相互的动态引导关系。

英文摘要：

Linear and nonlinear Granger causality tests are used to examine the dynamic causal relationship between daily stock returns and trading volume of Shanghai and Shenzhen A and B shares. Since the nonlinear structure of series can result in testing merely spurious causality, we focus on examining the linear and nonlinear causality between APGARCH filtered returns and trading volume. We find evidence of bi-directional linear causality between stock returns and trading volume of Shanghai A and B, and Shenzhen A shares, but only tmidirectional linear causality from returns to trading volume in the case of Shenzhen B share. Another finding is that in the case of Shanghai A share, there exists only unidirectional nonlinear causality from trading volume to returns, and the nonlinear causality between stock returns and trading volume of Shenzhen B share is bi-directional. Results obtained suggest the existence of dynamic causal relationship between stock returns and trading volume of Shanghai and Shenzhen A and B shares.