| 证券市场成交量对收益率波动性影响的实证分析 |
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| 引用本文： | 邓晓益,郭庆春.证券市场成交量对收益率波动性影响的实证分析[J].上海金融学院学报,2007(3):27-31. |
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| 作者姓名： | 邓晓益 郭庆春 |
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| 作者单位： | 重庆大学贸易与行政学院,重庆,400030 |
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| 摘 要： | 本文根据上海证券市场上证综合指数2005年1月1日到2006年1月1日的复合收益率和日成交量。用GARCC模型描述日成交量对复合收益率的波动性影响。在GARCH模型中加入当期交易量、滞后一期的交易量，结果表明当期交易量变化率能明显削弱收益率条件方差的波动性，而滞后一期的成交量只通过对当期的成交量间接的影响复合收益率。
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| 关 键 词： | 日成交量 GARCH模型 复合收益率 |
| 文章编号： | 1673-680X（2007）03-0027-05 |
| 修稿时间： | 2007-04-22 |
Securities Market Turnover and Its Effect on Yield Volatility |
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| Deng Xiaoyi,Guo Qingchun.Securities Market Turnover and Its Effect on Yield Volatility[J].Journal of Shanhai Finance University,2007(3):27-31. |
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| Authors: | Deng Xiaoyi Guo Qingchun |
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| Abstract: | Based on the compound yield rate and daily turnover from the composite index of Shanghai stock market between 2005 and 2006, the GARCH model reveals the impact of daily turnover on the volatility of compound yield rate.When the current transaction volume and the volume that has lagged a session are added to GARCH model, the result shows that current transaction volume rate of change significantly weakened the volatility of conditional variance of yield, while the turnover that has lagged a session can only affect compound yield rate indirectly through the current turnover |
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| Keywords: | daily turnover GARCH model compound yield rate |
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