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沪深股市回报率、波动率和交易量关系的实证研究 被引量：2

Empirical Research on Stock Return、Volatility and Trading Volume in Shanghai & Shenzhen Stock Markets
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摘要 本文首先对回报率与交易量之间的关系进行了研究,发现并不存在非对称的数量关系,但存在双向的葛兰杰因果关系;同时将交易量对波动率的解释能力进行了研究,发现在沪市交易量对波动率具有解释力,而在深市交易量对波动率没有解释力。 This article analyzes the relation between stock return and trading volume in stock markets, and we find that the relation isn＇t asymmetry, but there exists a bilateral Granger causality. In addition, the paper studies the expository power of trading volume for stock volatility, and the results show that the impact on volatility in Shanghai stock market is significant, but in Shenzhen stock market is insignificant.
作者 刘汉中
机构地区 湖南商学院经济学系
出处 《运筹与管理》 CSCD 2007年第6期123-127,共5页 Operations Research and Management Science
关键词 非对称性 GRANGER因果关系 EGARCH—M模型 交易量 回报率 asymmetry granger causality EGARCH-M model trading volume stock return
分类号 F830.91 [经济管理—金融学]
  • 相关文献

参考文献8

  • 1Karpoff J M. The relation between price changes and trading volume: a survey[J]. Journal of Financial and Quantitative Analysis, 1987, 22: 109-126.
  • 2Teppo Martikainen, Vsa Puttonen, Marttiluoma, Timo Rothovius. The linear and non-linear dependence of stock returns and trading volume in the finnish stock market[J]. Applied Financial Economics, 1994, 4: 159-169.
  • 3Hiemstra C, Jones J D. Testing for linear and noOnlinear granger causality in the stock price-volume relation[J]. Journal of Finance, 1994, 49: 1639-1664.
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  • 6华仁海,丁秀玲.我国股票市场收益、交易量、波动性动态关系的实证分析[J].财贸经济,2003,24(12):36-40. 被引量：19
  • 7于伟,尹敬东.我国股票市场量价关系的实证研究——基于牛市、熊市和盘整市不同情况下的比较分析[J].南京财经大学学报,2006(1):64-69. 被引量：15
  • 8Christopher G, Loamoureux William D. Lastrapes heteroskedasticity in stock return data volume versus GARCH effects [J]. The Journal of Finance, 1990, 1: 221-229.

二级参考文献10

  • 1Baek E and Brock W. A General Test for Nonlinear Granger Causality : Bivariate Model. Working paper, Iowa State University and University of Wisconsin, Madison, 1992.
  • 2Chen G M, Lee C F, and Rui M O. Stock Returns and Volatility of China Stock Markets, Journal of Financial Research, 41,2001,pp 523-543.
  • 3Clark P K. A Subordinated Stochastic Prceess Model with Finite Variance for Speculative Prices. Econometrica, 41,1973,pp 135- 155.
  • 4Copeland T E .A Model of Asset Trading under the Assumption of Sequential Information Arrival. Journal of Finance, Vol 31,1976,pp.1140- 1168.
  • 5Karpoff J M. The Relation between Price Changes and Trading Volume: A Survey. Journal of Financial and Quantitative Analysis,VOL 22,1978,pp 109 - 126.
  • 6Lamoureux C and Lastrapes W. Heteroskedasticity in Stock Return Data: Volume versus GARCH Effect Journal of Finance, Vol 45,1990,pp 221 - 229.
  • 7Tauchen G E and Pitts M. The Price Variability- Volume Relationship on Speculative Markets. Econometrica, 51, 1983,pp 485- 505.
  • 8Westedleld, R. The Distribution of Common Stock Prices Changes: An Application of Transactions Time and Subordinated Stochastic Models. Journal of Financial and Quantitative Analysis, 12, 1977,pp 743 - 765.
  • 9李双成,张宏伟,赵长城.中国股票市场价格波动与信息流关系的实证分析[J].河北经贸大学学报,2002,23(4):40-45. 被引量：9
  • 10华仁海,丁秀玲.我国股票市场收益、交易量、波动性动态关系的实证分析[J].财贸经济,2003,24(12):36-40. 被引量：19

共引文献32

同被引文献13

二级引证文献1

运筹与管理
2007年 第6期

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