中国股票市场量价关系的实证研究

An Empirical Study of Price-Volume Relation of China's Stock Market

可运用GARCH -M模型实证检验中国股票市场波动性与交易量之间的关系。我们将交易量分解为预期交易量和非预期交易量进行检验表明 ,非预期交易量对股市波动的解释能力要比预期交易量的解释能力更重要 ,即中国股票市场的短期波动 ,主要是由非预期交易量所隐含的新信息的冲击所产生的。

Using GARCH-M model to study the relationship between movement of the prices and turnover volumes in the Chinese stock market, we found non-anticipative turnover is more relevant in explaining the fluctuation of prices than anticipative turnover. It shows that the short-run fluctuation in Chinese stock market is mainly caused by non-anticipative transactions involving new messages.