市场分割下A、B股成交量、收益率与波动率之间关系的SVAR分析  

An Analysis of the Relationship between the Trading Volume,Return and Volatility of A and B Share under Market Segmentation Based on SVAR

作　　者：唐齐鸣[1] 刘亚清[1] 

机构地区：[1]华中科技大学经济学院,武汉430074

出　　处：《金融研究》2008年第2期113-126,共14页Journal of Financial Research

基　　金：国家社科基金项目(06BJY011):"中国股票市场分割与一体化演进问题研究"的资助

摘　　要：运用结构向量自回归模型,本文对中国A、B股市场上成交量、收益率与波动率之间的关系进行了系统分析。基本结论如下:2001年后,随着B股市场的开放和QFII制度的逐步实施,成交量、收益率和波动率之间的信息传递功能都显著增强;成交量对当期收益率预测能力也有了显著的增强;成交量与波动率之间的相互关系具有不对称性。尽管中国A、B股市场一体化程度2001年后有了明显的提高,但A股市场的投机性仍比B股市场严重。With the Structure Vector Autocorrelation Regression model, the paper systemically analyzes the relationship among trading volume, return and volatility both in A Share and B Share markets in China. The paper basically concludes ： with the opening up of Share B market and the implement QFII since 2001, the information transferring function among trading volume, return rate and volatility has been growing significantly; the function of trading volume to predict the return rate becomes greater; there is asymmetry between trading volume and volatility. In spite of that the market integration of Share A and Share B has been improved after 2001, there is stronger opportunism in A Share market than that in B Share market.

关 键 词：市场分割 结构向量自回归 信息传递 

分 类 号：F832.51[经济管理—金融学] F224