基于DCC多元GARCH模型的股票收益和交易量相关性分析

The Correlational Analyses of Share Return and Transaction Volume Based on DCC Multivariate CARCH Model

应用恩格尔提出的DCC多元GARCH模型对股票市场上股指和交易量变化之间关系进行探讨。结果发现各个市场之间的动态相关系数存在较大的差异,各个市场总体正相关机会远大于负相关。除了我国深圳股市A、B股市场外,其它市场支持条件相关系数动态变动的论断。

This paper examines the dynamic relationship between return and the transaction volume within four international markets by using generalized positive definite multivariate GARCH models. It is found that there exists a positive dynamic relationship between return and the transaction volume. But the dynamic relationship is different among different markets.