基于高频数据的波动率与成交量动态关系研究

Research on Dynamic Relationship between Volatility and Trading Volume Based on High-frequency Data

传统的价量分析都是从低频数据来分析股票市场上波动率、收益率与成交量之间的关系。基于高频数据,利用分位数回归并结合高频数据的波动率估计方法对高频数据中所呈现出的价量关系进行研究,并分析了股票价格跳跃过程所带来的跳跃方差与成交量之间的关系。实证分析表明:指数及个股收益率与成交量之间的关系并不显著;波动率、跳跃与成交量之间存在着显著相关的关系,个股的波动率与成交量之间的关系显著并呈现出正向相关关系,而指数的波动率与成交量之间呈现出一种负向关系,并且关系比较微弱;个股的成交量的改变会导致股票价格的跳跃方差的减小,而指数的成交量的改变则使得指数的跳跃方差增大。

The traditional methods to measure the relationships among return,volatility and trading volume are base on the low-frequency data.Basing on the high-frequency data,this paper uses the quantile regression to measure the relationship between price and trading volume by combining the methods to measure the volatility of high-frequency data.The result of demonstration shows that the relationship between return and trading volume is weak,no matter it is an index or an individual stock.However,the relationship between volatility and trading volume or volatility jump and trading volume is significant.It shows that there is a strong relationship between volatility and trading volume in Individual stock and the relationship is strongly positive,but the situation is reverse in index.The volatility jump component gradually decrease as a result of increasing in trading volume,the situation are also revere in index.