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交易量与股价波动性动态关系的研究 被引量：4

Research of the Dynamic Relationship between Trading Volume and Stock Price Volatility
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摘要 交易量与股价变化的关系是金融市场研究的重要课题之一.VGARCH模型是在传统的GARCH模型中加入交易量得到的衍生模型.通过对上证指数波动性预测的实证分析得出:VGARCH模型能更准确地预测股票指数的波动性.进一步指出,相比于交易量,其波动率能更好地度量每日信息到达量. The relationship between trading volume and stock price volatility is an important topic in the study of financial market.VGARCH model was proposed by adding trading volume into GARCH model.Empirical analysis was given on forecasting SSE Composite Index volatility.The results indicate that VGARCH is more accurate than GARCH.It further shows that the volatility of trading volume is a better measure of daily arrival of information than trading volume.
作者 王艺霖 周渊
机构地区 复旦大学数学科学学院
出处 《复旦学报（自然科学版）》 CAS CSCD 北大核心 2012年第4期472-479,共8页 Journal of Fudan University：Natural Science
基金 国家自然科学基金资助项目(10971127)
关键词 VGARCH模型 股价波动性 交易量 VGARCH model price volatility trading volume
分类号 F224.7 [经济管理—国民经济] O212.3 [理学—概率论与数理统计]
  • 相关文献

参考文献11

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二级参考文献19

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共引文献6

同被引文献42

  • 1陈志娟,郑振龙,马长峰,林苍祥.个人投资者交易行为研究——来自台湾股市的证据[J].经济研究,2011,46(S1):67-79. 被引量：18
  • 2杨德群,杨朝军,倪旸.证券投资基金持股与股价波动性关系的实证研究[J].科技进步与对策,2004,21(8):74-76. 被引量：6
  • 3位志宇,杨忠直.经济增长与股价波动的相关性研究——基于中国香港的证据[J].金融研究,2007(03A):112-124. 被引量：13
  • 4刘成彦,胡枫,王皓.QFII也存在羊群行为吗?[J].金融研究,2007(10A):111-122. 被引量：67
  • 5Sadorsky P.Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies[J].Energy Economics,2012,(34):248-255.
  • 6Masih R,Peters S,Mello D.Oil price volatility and stock price fluctuations in an emerging market:Evidence from South Korea[J].Energy Economics,2011,(33):975-986.
  • 7Li J.An unscented Kalman smoother for volatility extraction:Evidence from stock prices and options[J].Computational Statistics and Data Analysis,2013,(58):15-26.
  • 8Li W,Wang S.Daily institutional trades and stock price volatility in a retail investor dominated emerging market[J].Journal of Financial Markets,2010,(13):448-474.
  • 9Lee D,Liu M.Does more information in stock price lead to greater or smaller idiosyncratic return volatility[J].Journal of Banking & Finance,2011,(35):1563-1580.
  • 10Huang H,Chan M,Huang H,Chang C.Stock price volatility and overreaction in a political crisis:The effects of corporate governance and performance[J].Pacific-Basin Finance Journal,2011,(19):1-20.

引证文献4

二级引证文献5

复旦学报（自然科学版）
2012年 第4期

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