中国股市波动与交易量关系研究--基于混合分布假定

基于混合分布假定(MDH),研究了中国股票市场的波动性与交易量之间的关系。研究结果表明,交易量与波动性存在显著的正相关,交易量对中国股市的波动具有一定程度的解释能力,非预期交易量比预期交易量对波动性的解释能力更强。但实证结果与国外成熟市场和理论模型的预测比较发现,中国股市存在特质性。考虑到交易量与波动性的关系事实上反映了信息披露、信息传递、市场对信息的评估与消化机制,因此这些特质性可能根源于中国股市的信息作用机制。

Investigation in Relation between Volatility and Trade Volume of China''''s Stock Market

This paper is a study of the relationship between trade volume and volatility of stock market in China with MDH as the basis. The evidence shows that trade volume is positively related with and thus explicable of the market volatility,with unexpected volume stronger than expected volume in explicability. Comparison of empirical studies with overseas mature market and their theory models indicate that Chinese market features some idiosyncrasy. Allowing for the fact that such relation embeds exposure, communication and appraisal and absorption of information by the market, the idiosyncrasy may very well be rooted in the functioning of information in Chinese stock market.