成交量与收益、收益波动的动态关系  

Dynamic relationship between trading volume,returas and return volatility

作　　者：张志鹏[1] 杨朝军[1] 

机构地区：[1]上海交通大学安泰管理学院,上海200052

出　　处：《哈尔滨工业大学学报》2009年第4期280-283,共4页Journal of Harbin Institute of Technology

基　　金：国家自然科学基金资助项目(70373053)

摘　　要：通过建立相关模型和实证研究,探讨了我国股市的价量关系.研究结果表明:(1)成交量与收益互为Granger因果关系,两者之间存在着信息反馈;(2)同期成交量对收益波动有显著的正效应,在GARCH-M模型中引入成交量因子后显著降低了收益波动的ARCH效应;(3)把成交量分离为期望成交量和非期望成交量之后,发现只有非期望成交量对收益、收益波动有显著的正相关关系,而期望成交量对它们的影响不显著;(4)收益波动具有杠杆效应,负的冲击比正的冲击会造成更大的收益波动.The relationship between trading volume and price was explored by model establishment and empirical study. The analysis results indicate that there exists Granger- cause relationship between trading volume and returns, which means that there is an information feedback between them; the contemporaneous volume has positive effects on return volatility, and significantly decreases the ARCH effect of return volatility ; the unexpected trading volume is positively related to returns and return volatility, while the expected trading volume does not; furthermore, there exists lever effects in return volatility.

关 键 词：成交量 收益 收益波动 期望成交量 非期望成交量 

分 类 号：F830.91[经济管理—金融学]