中国股票市场价格波动与信息流关系的实证分析

本文运用广义自回归条件异方差(GARCH)模型对中国股票市场的价格波动与信息流之间的关系进行了实证检验。结果发现,把即期交易量作为信息流的替代指标能够显著降低价格波动的持续性,说明在中国股票市场,信息流是产生资产回报ARCH效应的根源,这也验证了国际上流行的量价关系的混合分布假说(MDH)理论。

The relationship between price volatility and information flows is analysed by using the generalized autoregressive conditional heteroskedasticity(GARCH) models to the Chinese Stock Market in this paper. It turns out that trading volume as a proxy of information arrival dramatically reduces the persistence of the conditional variance, meaning that the arrival of information is a source of the ARCH effect in the Chinese Stock Market,from Dhich the Mixture of Distribution Hypotheses (MDH) theory is also proved. The conclusion in this paper has significant implications for understanding the microstructure of stock market correctly, investigating the formation mechanism of stock prices and normalizing the behavior of market.