股市日收益率波动性与交易量关系

Relationship between the fluctuation of daily yield and volume about the stock market

首先引入基于混合分布假设(MDH)的GARCH-M(广义自回归条件异方差)模型,因为GARCH-M模型是一个研究资产收益率和风险性关系的模型,将非信息交易量和信息交易量加入GARCH-M模型的均值方程中,研究了中国股票市场日收益率波动性与交易量之间的关系。信息交易量对波动性的解释能力要远大于非信息交易量;信息交易量中超过均值部分对波动性的解释能力大于整个信息交易量等。

At first,introduces the GARCH-M model under the Mixture Distribution Hypothesis(MDH),Because GARCH-M model is a model that investigates the relationship between the yield and risk,so adopt the method that the uniformation volume and information volume are added to the mean equation of the GARCH-M model,finally investigate the relationship between the volatility of daily yield and volume about the stock market.The conclusion is the information volume has stronger interpretation than the uniformation one and the part of information volume beyond mean value has stronger interpretation than the whole information one.