成交量对股票收益率波动的影响分析  

An Analysis of Trading Volume Impact on Volatility

作　　者：史美景[1] 

机构地区：[1]西安交通大学经济金融学院,陕西西安710049

出　　处：《统计与信息论坛》2005年第2期60-62,共3页Journal of Statistics and Information

摘　　要：文章利用带有成交量变化率解释变量的指数自回归条件异方差方程EGARCH(1,1)-M,实证分析了上海、深圳证券市场信息到达对波动的影响及杠杆效应,发现在样本期内成交量变化对深圳市场股票收益率波动的影响比上海市场更大。In this paper, using EGARCH(1,1)-M model with the changing rate of trading volume as an explanatory variable, author analyzes empirically the impact of information arrival on the volatility of Shanghai and Shenzhen stock markets. Results show that during the sample period, the impact of the change in trading volume on the Shenzhen stock market is greater than on the Shanghai stock market.

关 键 词：成交量 EGARCH(1 1)-M模型 股票收益率 

分 类 号：F224[经济管理—国民经济]