上证指数收益率、波动性与成交量动态关系研究——基于日数据的非线性动力学实证分析

Empirical Analysis of the Relation Between Daily Return Rate,Volatility and Trading Volume of Shanghai Stock Market Comprising Index Based on Nonlinar Dynamics

对上证指数的收益率、波动性与成交量的动态关系进行了实证分析.采用EGARCH(1,1) M模型和ARMA(4,3) ARCH(1)模型分别测度上证指数收益率的波动性以及成交量的波动性,使用逐步回归法建立了收益率与成交量(R-V),收益率的波动性与成交量(hR-V)以及收益率的波动性与成交量的波动性(hR-hV)等的二维动力学模型,并用动力学方法研究以上诸二维系统的动力学行为.研究结果表明,虽然大量研究结果表明股市收益率时间序列存在混沌现象,但由收益率与成交量、波动性与成交量等构成的二维动力系统并不存在混沌现象.

This paper investigates the relationships between return rate, return volatility and trading volume of Shanghai Stock Market Comprising Index. We measure return volatility by EGARCH（1，1）-M（exponential generalized autoregressive conditional heteroscedasticity ） model and volatility of trading volume by ARMA （4，3）-ARCH （ 1 ） model.we build two-dimensional dynamic system of return rate and trading volume（ R - V）, return volatility and trading volume（ hR- V）, return volatility and volume volatility（ hR - hV ） by using stepwise regression method, and investigate the dynamic behaviour of these systems. The results indicate that there does not exist chaos in these twodimensional dynamic systems composed by return and trading volume, return volatility and trading volume , although many empirical analysis indicate that the time series of stock market return rate is chaotic。