摘要
本文利用20只深圳成分指数的成分股1998年1月5日至2002年9月27日交易数据组成分析样本,研究了交易量和股票收益率波动性之间的关系。在EGARCH模型条件方差方程中加入当前交易量可以显著降低条件方差波动的持续性,表明当前交易量可以代表引起收益率ARCH效应的新信息。
By applying the Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model to 20 stocks in Shenzhen stock market, this study examines the statistical property of time - varying volatility in returns and trading volume data found in Shenzhen stock market. It is shown that including current trading volume in the conditional variance equation of EGARCH model dramatically reduces the persistence of the conditional variance, meaning that the current trading volume is a good proxy variable of arrival of information, which is a source of the ARCH effect in the Shenzhen market.
出处
《金融研究》
CSSCI
北大核心
2004年第12期81-88,共8页
Journal of Financial Research
基金
本文受国家自然科学基金(70171005/G0108)社会科学基金(01BJL012)资助。
