中国股市波动与交易量关系研究——基于混合分布假定  

Investigation in Relation between Volatility and Trade Volume of China's Stock Market

作　　者：蒋祥林[1] 吴晓霖[2] 

机构地区：[1]复旦大学金融研究院,上海200433 [2]天津大学管理学院,天津300072

出　　处：《山西财经学院学报》2004年第6期96-101,共6页

基　　金：国家自然科学基金研究资助项目(70041039)

摘　　要：基于混合分布假定(MDH),研究了中国股票市场的波动性与交易量之间的关系。研究结果表明,交易量与波动性存在显著的正相关,交易量对中国股市的波动具有一定程度的解释能力,非预期交易量比预期交易量对波动性的解释能力更强。但实证结果与国外成熟市场和理论模型的预测比较发现,中国股市存在特质性。考虑到交易量与波动性的关系事实上反映了信息披露、信息传递、市场对信息的评估与消化机制,因此这些特质性可能根源于中国股市的信息作用机制。This paper is a study of the relationship between trade volume and volatility of stock market in China with MDH as the basis. The evidence shows that trade volume is positively related with and thus explicable of the market volatility,with unexpected volume stronger than expected volume in explicability. Comparison of empirical studies with overseas mature market and their theory models indicate that Chinese market features some idiosyncrasy. Allowing for the fact that such relation embeds exposure, communication and appraisal and absorption of information by the market, the idiosyncrasy may very well be rooted in the functioning of information in Chinese stock market.

关 键 词：交易量 中国股市 波动性 成熟市场 信息作用机制 中国股票市场 信息披露 研究结果 关系研究 消化机制 

分 类 号：F832[经济管理—金融学] F830