摘要
利用上海、深圳、纽约、香港和新加坡股市典型个股数据,采用GARCH-Vol模型,对比研究我国证券市场与纽约、香港和新加坡证券市场在量价关系上的异同点。实证结论认为,不同的证券市场的量价关系具有自身的特征,从而进一步揭示了量价关系的复杂性。
Data of Typical stocks in Shanghai, Shenzhen, New York, Hang Kong and Singapore Stock Exchanges are selected in this paper. On the basis of the GARCH-Vol model, the differences in the relationship of transaction volume and volatility between stock market of China and New York, Hong Kong, Singapore are discussed. It is found that the characteristics of the transaction volume-volatility in different stock markets are particular, and the complexity of volume-volatility is also discussed in the paper.
出处
《北京理工大学学报（社会科学版）》
2005年第4期51-54,共4页
Journal of Beijing Institute of Technology：Social Sciences Edition
基金
国家杰出青年科学基金项目(70225002)
教育部优秀青年教师教学科研奖励基金
关键词
交易量
波动性
GAIKCH—Vol模型
Transaction volume
Volatility
GARCH-Vol model
International comparison.
