成交量和回报率对信息扰动的市场反应研究——以中国A股市场为例

The Response of Volume and Returns to Information Shocks in China's Stock Markets

用BVAR和BMAR模型及脉冲—响应分析方法来考察中国股票市场上成交量和回报率对信息扰动的动态反应情况得出,公共扰动和永久性扰动是回报率的主要决定因素,而非公共扰动和暂时性扰动则是成交量的主要决定因素。但是公共扰动和永久性扰动对成交量有明显影响;非公共扰动和暂时性扰动对回报率有明显影响。

The dynamic response of volume and returns to information shocks in China＇ s stock markets can be investigated using bivariate moving average representation （BMAR） and bivariate vector autoregression （BVAR） methodologies and impulse response analysis. Consistent with the conclusions from western stock market studies that have used these methodologies, the informational/permanent components are the dominant components for returns movements, and the non-informational/transitory components are the dominant components for trading volume. However, （ 1 ） the responses of volume to informational/permanent shocks are also significant; （2） the responses of returns to non-informational/ transitory shocks are also significant; （3） the dynamic response speed obviously fastened than before during the sub - sample three （2001 - 2003） period.