交易量适合作为股价波动信息的代理变量吗?——来自中国沪深股市的证据

本文利用中国沪深股市日交易数据,采用多元GARCH模型从信息传递的角度进行实证研究,结果表明:股价对交易量具有显著的波动溢出效应,但交易量对股价的波动溢出效应不明显。这种波动的单向溢出说明在应对信息的冲击上股价比交易量能更快地做出反应,其后才通过波动溢出在交易量上得到反映,股价波动对成交量波动具有先导作用。因此,从波动冲击传导和信息传递的角度看,单纯地将交易量视为股价变动信息的代理变量还缺乏稳健的统计证据。

Is Trading Volume a Proper Proxy Variable of the Stock Price Volatility?

Using daily trading data of Shanghai and Shenzhen stock markets, we investigate the information transmission between price and volume through a multivariable GARCH model. The results show that there exists a significant volatility spillover effect from price to volume,while there is no obvious spillover effect from volume to price. The unidirectional volatility spillover effect proves that stock price responses to information more quickly than trading volume in the information transmission process, and the price volatility is leading to volume volatility. So from the point of fluctuation shock and information transmission, simply regarding trading volume as the proxy variable of the stock price volatility still lacks robust statistical evidence.