股市交易量中追涨杀跌行为的数学模型分析  

Mathematical Model and the Real Diagnosis Analysis the Phenomena of Running after Rising and Falling in Stock Market

作　　者：李秋斌[1] 

机构地区：[1]闽江学院,福建福州351018

出　　处：《闽江学院学报》2008年第1期54-59,共6页Journal of Minjiang University

摘　　要：在股票市场交易中,股票价格大的涨跌幅度通常是伴随着交易量的大起大落。通过研究股指收益率和交易量两个序列的特点和它们的相互关系,把平方后的交易量变动和股指收益引入对方的GARCH模型,并分析了它们之间的波动关系,认为股市投机中追涨杀跌是投资者投资股市的基本的永恒的特点,是投资者投资心理的本能反映,也是引发股市波动的重要原因。This paper research the characters of two series stock index return and trading volume of shang-hai stock market, and introduce the squared change of trading volume and stock index into GARCH model to analyze the volatility relationship between them. We get the conclusion that stock index return and change of trading volume influence their conditional variance each other, and the strategy of running after rising and falling induce the volatility of stock index.

关 键 词：股指上涨幅度 交易量 GRANGER检验 条件方差 GARCH 

分 类 号：F224.9[经济管理—国民经济]