| 中国股票市场成交量与价格波动关系 |
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| 引用本文： | 刘永利,李双成,杨桂华.中国股票市场成交量与价格波动关系[J].河北经贸大学学报,2007,28(2):65-70. |
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| 作者姓名： | 刘永利 李双成 杨桂华 |
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| 作者单位： | 1. 河北大学,经济学院,河北,保定,071002
2. 河北经贸大学,数统学院,河北,石家庄,050061 |
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| 摘 要： | 利用个股数据资料和非对称成分GARCH-M模型对中国股票市场的量价关系进行了实证研究。结论显示:股价的短期波动主要由非预期交易量解释,即非预期交易量所揭示的新信息是产生价格波动的根源;中国股票市场部分个股存在明显的杠杆效应,利空消息对市场波动的冲击大于同等程度的利好消息对市场波动的冲击;非预期交易行为对市场波动的冲击存在显著的非对称特征,正的交易量冲击(交易量放量冲击)比同等程度的负交易量冲击(交易量缩量冲击)对市场波动的影响更大。
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| 关 键 词： | 量价关系 杠杆效应 MDH假说 非对称成分GARCH-M模型 |
| 文章编号： | 1007-2101(2007)02-0065-06 |
| 修稿时间： | 2006-09-01 |
Price Volatility and Trading Volume in China's Stock Market |
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| LIU Yong-li,LI Shuang-cheng,YANG Gui-hua.Price Volatility and Trading Volume in China''''s Stock Market[J].Journal Of Hebei University Of Economics and Trade,2007,28(2):65-70. |
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| Authors: | LIU Yong-li LI Shuang-cheng YANG Gui-hua |
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| Abstract: | This paper conducts empirical study of the relationship between stock price and trading volume with the help of data of some stocks and asymmetric component GARCH-M.The conclusions are that the short-term volatility of stock price is mainly interpreted by unexpected part of volume,that is to say,the new information disclosed by expected trading volume is the root cause of price volatility;some of China's stocks have apparent leverage effect and the impact of bad news on market volatility is greater than that of bad news of the similar degree;the impact of unexpected trading behaviors on market volatility takes on obvious asymmetrical features and the positive trading volume impact generate greater impact on market volatility than negative one. |
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| Keywords: | the relationship between trading volume and price leverage effect MDH hypothesis asymmetrical component GARCH-M |
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