我国股票市场收益、交易量、波动性动态关系的实证分析

本文对我国股票市场上证指数和深圳成指的收益、交易量、波动性之间的动态关系进行了实证研究,研究结果表明:收益和绝对收益与交易量之间均存在正相关关系;收益与交易量以及绝对收益与交易量之间存在双向Granger因果关系(线性或非线性);深圳成指收益的波动方差对收益具有正向作用,而上证指数收益的波动方差对收益没有直接的影响;上证指数和深圳成指的成交量对股指收益的波动方差不具有解释作用.

An Empirical Study on Dynamic Relationship Among Returns, Trading Volume, and Volatility in China Stock Markets

This paper examines the dynamic relation between returns, volume, and volatility of our stock markets. The results show that there exist positive correlation among returns and volume and also between absolute returns and volume; Granger causality tests demonstrate that bilateral causality relation (linear or nonlinear) exists between returns (or absolute returns) and volume; the conditional volatility of returns of Shanghai composite index has no direct impact to its returns, but the conditional volatility of returns of Shenzhen index has positive impact to its returns; and trading volume has no direct impact to volatility.