成交量与股价波动 ARCH效应的实证研究

本文通过建立增广GARCH -M模型 ,选用 1998年 1月 5日至 2 0 0 4年 2月 2 6日间上海证券交易所的交易数据 ,对我国股票市场波动的ARCH效应与股票成交量之间的关系进行了实证研究。结果显示 :(1)股票市场波动性与同期股票成交量之间存在较强的正相关关系 ,并且股票市场波动的持久性特征在考虑成交量这一因素后而明显减弱 ;(2 )股票成交量中含有有关市场波动的信息 ,但成交量的引入并没有消除股价波动的ARCH效应 ,从而说明还有其他因子影响着股票市场的波动特征。

In this paper, we established the Augmented Garch-M model to examine the empirical relationship between the ARCH effect existing in the volatility of Chinese stock market and the trading volume, using daily data covering the period from January 5, 1998 to February 26, 2004 on the Shanghai Securities Exchange. We found that: there exists a strong positive correlation between stock market volatility and contemporaneous trading volume and the characteristic of persistence in stock market volatility becomes diminished obviously when considering the trading volume; the trading volume contains the relevant information on the stock market volatility. The ARCH effect of stock price volatility, however, is not diminished even when introducing the trading volume and hence there exists other factors which influence the volatility of stock market.