深市波动率特征分析

Empirical Analysis on Return Distribution and Price-volume of SZCI

股价与成交量是股市中的两个重要变量,研究股票市场的波动率,掌握股票市场的主要波动性特征,进而有效管理市场,具有重要的理论意义和实践价值.采用计量经济分析技术,采集深市交易数据,分析了深市日收益率序列和波动率序列的每周不同天效应和记忆性.分析认为,深市日收益率序列不存在每周不同天效应,但存在1～2星期的记忆性;波动率序列则存在每周不同天效应和持续性;同时,交易量对波动率具有很好的解释作用,而波动率则不对交易量具有解释作用.

This paper focuses on the day-of-the-week effect and contingency/persistency of the return rate series and the volatility in shenzhen stock index.It argues that there is not the day-of-the-week effect in return rate series but one to two weeks of contingency, while there is the day-of-the-week effect and persistency in volatility, and the trading volume is helpful to interpret the volatility.