我国股市价格变动与交易量波动关系研究——基于BEKK模型的实证分析  

The Relationship between Price Change and Trading Volume Volatility in China's Stock Market——An Empirical Analysis Based on BEKK Model

作　　者：操君[1] 巫昊天[1] 

机构地区：[1]安徽农业大学经济管理学院,安徽合肥230036

出　　处：《安徽农业大学学报（社会科学版）》2012年第5期40-44,102,共6页Journal of Anhui Agricultural University:SOC.SCI.

基　　金：安徽省教育厅人文社科基金项目(2011sk627:<我国上市公司控制权与资本结构关系研究>)

摘　　要：采用BEKK模型对沪、深两市A股收益率与交易量变动率的关系进行实证研究。结果显示,在变量波动性传递的ARCH效应方面,深证A股交易量波动冲击对收益率影响显著,但上证A股此类效应却不显著,这意味着深市A股上期观测到的交易量波动信息影响到收益率变动,而沪市A股上期交易量对股价变动的影响微弱;在变量波动性传递的GARCH效应上,两个市场亦存在较明显的差异:深证A股存在双向波动性传递,充分体现两变量波动的反馈效应,而上证A股仅存在单向波动性传递,体现为交易量波动的持久性对收益率产生影响。BEKK model is used in the paper to empirically study the relation between returns and trading volume rate of change of A Share of Shanghai Stock Exchange and A Share of Shenzhen Stock Exchange. The result shows that in ARCH effect of volatility transmission, the impact of trading volume volatility of A Share of Shenzhen Stock Exchange significantly affects returns, but there is no such effect in A Share of Shanghai Stock Exchange. This means that the observed trading volume volatility of latest period of A Share of Shenzhen Stock Exchange affects its returns, while such impact in A Share of Shanghai Stock Exchange is weak~ there are obvious differences on GARCH effect of volatility transmission in two markets： there exists two-way volatility transmission in A Share of Shenzhen Stock Exchange, which fully reflects the feedback effect between the two variables, while in A Share of Shanghai Stock Exchange there exists only one-way transmission, which reflects the impact of persistence of trading volume volatility on returns.

关 键 词：GARCH效应 交易量 收益率 波动 

分 类 号：F832[经济管理—金融学]