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日交易量与股票日收益GARCH效应 被引量：1

Daily Trading Volume and GARCH Effects in Daily Stock Return
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摘要 本文利用中国股票市场的48只具有代表性的股票,对股票日收益的GARCH效应进行了实证研究。结果表明,对于交易活跃的市场,股票日交易量可以很好的解释股票日收益的GARCH效应,当在GARCH模型中引入日交易量作为解释变量,我们发现GARCH效应显著降低,但依然显著存在。 In this paper, we study the GARCH effects in daily stock return and the relationship between daily trading volume and volatility. It is shown that the daily trading volume can be a good explanation for GARCH effects. When the daily trading volume is included in the GARCH equation,the GARCH effects and volatiliy cluster decrease, but they still exist.
作者 魏正红 张术林
机构地区 深圳大学师范学院数学系 武汉大学数学与统计学院
出处 《运筹与管理》 CSCD 2005年第3期131-134,105,共5页 Operations Research and Management Science
关键词 股票 股票日收益 日交易量 GARCH效应 波动集群性 信息流假说 stock daily stock return daily trading volume GARCH effcts volatility cluster information flows.
分类号 C931 [经济管理—管理学]
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参考文献13

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同被引文献21

  • 1张庆翠,王春峰.中国股市波动性与成交量共同的长期记忆性研究[J].管理科学学报,2005,8(2):38-45. 被引量：17
  • 2《2007牛市之路多曲折》.载《中国证券报》,2007年1月4日.
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  • 5Bollerslev,T.,R.Y.Chou and K.F.Kroner.1992,ARCH modeling in finance:A review of the theory and empirical evidence[J].Journal of Econometrics,52,5-59.
  • 6Bollerslev,T.and Domowitz,I.,1993,Trading Patterns and Prices in the Interbank Foreign Exchange Market[J].Journal of Finance,48,1421-1443.
  • 7Bollershev,T.,1995,Generalized Autoregressive Conditional Heteroscedasticity[J].Journal of Econometrics,72,307-327.
  • 8Easley,David,and Maureen O'Hara.1992,Time and the process of security price adjustmentJ].Journal of Finance,47,577-605.
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  • 10Engle,R.and F.Kroner.1995,Multivariate Simultaneous Generalized ARCH[J].Econometric Theory,11,122-150.

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运筹与管理
2005年 第3期

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