中文摘要：

在应用Urzfia数据驱动型VAR-BE模型和基于varimin准则判断变量次序的基础上，采用Koop等的TVP-VAR-GCK模型分析量价关系的时变特征和卖空交易制度对量价关系的影响．量价关系的研究结果表明，我国证券市场量价关系有显著的时变性，不同样本具有显著的个体差异；个股和所在市场指数量价关系系数具有一致的时变趋势，显示个股及所在市场的量价关系对卖空交易的反应较为趋同．卖空交易制度对量价冲击的研究结果还表明，在不同的时期，该冲击的程度和形态都有一定差异，体现了价格和交易量对市场结构变化冲击反应的时变性．这一结果和量价关系的行为金融理论一致，即卖空交易机制的时变冲击效应，在一定程度反映出我国投资者对卖空交易机制这一证券市场新生事物的认知变化过程．

英文摘要：

This article investigatestime-varyingshocks on the price-volume relationship by utilizing price-volume relationship and the impact of short-sellthe TVP-VAR-GCK Model of Koop et al. （2009）. Themost probable variables order in the VAR model and the impulsive function are selected by employing the VAR_BE model and varimin criteria. The results reveal that the price-volume relationship is significantly time-var-ying and different samples （both indices and individual stocks） have distinct patterns. The results also suggestthat the market structural change has a time-varying impact on the price-volume relationship. The results areconsistent with the behavior finance theory on the price-volume relationship, which reflects the learning processof investors in response to the structure changes in the stock exchanges in China.