基于混合分布假说的股市价量关系研究

The Price Volume Relation: An Empirical Test Based on Mixture Distribution Hypothesis

从市场微观结构理论出发,引入混合分布假说(MixtureDistributionHypothesis)考察了中国股票市场波动性与交易量之间的关系。将不同性质的交易量作为信息流加入GARCH M的方差方程中,比较好地解释了中国股市的价量相关关系。阐述了把交易量加入GARCH M方差方程降低了我国股市波动性的ARCH效应,说明交易量对中国股市的波动性的持续性也具有一定的解释能力。

This article is based on market microstructure theory. We introduce the MDH(Mixture Distribution Hypothesis) and take an empirical test on the pricevolume relation in the Chinese stock market by adding heterogeneous volume in the GARCHM model as a information flow, which results in a more convinced interpretation of the pricevolume relation and a weakening ARCH effect in the stock market. In addition, the result of our work can also support that the volume is a interpretation of the persistence of the volatility of the stock market.