中国股市波动性与交易量的关系:基于混合分布假说的实证研究

An Empirical Analysis of Volatility and Trading Volume in ChinaStock Market on the Hypothesis of Mixture of Distribution

在混合分布假说(MDH)框架下,应用EGARCH-Volume(附加交易量的指数GARCH)模型,分阶段考察了收益率波性与交易量的关系。与以往研究结论不同,对沪深股市分阶段的实证结果表明:在股市发展的过渡、调整阶段(1993-1996),同期交易量作为信息到达的代理变量,明显降低了沪深两市收益率中时变波动的持续性特征,而在规范、发展阶段(1997～2001)沪深两市的交易量基本不能解释收益率波动的持续性特征,收益率波的持续性受其他因素的影响。混合发布假说对股市持续性解释力呈现阶段性差异,说明信息对收益率波动的影响机制随着股市的发展而变化。

Based on the framework of the Mixture of Distribution Hypothesis(MDH), we applied EGARCH-Volume Model to examine the relationship between return volatility and trading volume in the different stage of China stock market. Our findings show that the MDH has different explaining ability in different stage. In the transition stage(1993-1996), the current trading volume as a proxy of information arrival dramatically reduce the persistence of conditional variance in return, but in the developing stage(1997-2001), on the other hand, the current trading volume can reduce hardly. This result is different from the prior result using the whole period to test MDH, which means the relationship between return volatility and trading volume has a characteristics of stage and the mechanism of information influencing the return volatility has changed with the development of China stock market.