预期和非预期交易对收益率波动性的影响及实证分析  

The Influence of Expected Volume and Unexpected Volume on Return Volatility

作　　者：孟庆浩[1] 杜谦[1] 

机构地区：[1]华南理工大学工商管理学院,广州510641

出　　处：《河南科学》2015年第5期849-853,共5页Henan Science

摘　　要：以混合分布假说(MDH)为理论基础,把实际交易量划分为预期和非预期交易量,引入EGARCH-M模型中,提出基于预期交易和非预期交易的量价关系模型,并用该模型刻画上证基金指数的量价关系.实证研究表明:上证基金指数的日交易量可以作为当期信息到达市场的解释变量;基于预期和非预期交易的EGARCH-M扩展模型拟合精度显著优于原模型和仅考虑对数交易量的模型;非预期交易量对指数价格的冲击显著大于预期交易量.Trading volume is regarded as a significant signal of current information based on MDH theory. We divide real volume into expected volume and unexpected volume,employ an EGARCH-M model to research the relationship between price volatility and trading volume on the risk premium. Then we analyse the volatility-volume of SH fund index. The results show that the expansion EGARCH-M model is better than the original model. Trading volume of the SH fund index can be used as explaining variable of the current information that arrives market and the unexpected volume has a larger influence than the expected volume.

关 键 词：量价关系 EGARCH-M模型 预期交易量 非预期交易量 

分 类 号：F830[经济管理—金融学]