| 交易量与股价波动性:对中国市场的实证研究 | |
| 杨炘 ; 王邦宜 ; YANG Xin ; WANG Bang-yi | |
| 2010-06-07 ; 2010-06-07 | |
| 关键词 | 波动性 交易量 GARCH效应 volatility trading volume GARCH effect F224 |
| 其他题名 | Trading volume and volatility: Empirical study on China's stock markets |
| 中文摘要 | 以沪深股市的20只股票为样本,对条件方差方程中是否引入交易量分别建立的两组收益率GARCH模型进行分析.结果表明,引入交易量后,GARCH效应显著减小,大部分模型的GARCH效应不再显著,而所有模型交易量的系数估计量均显著为正.并以中国市场为实例,证明交易量具有序列相关的性质,支持了交易量作为信息到达数量的代理变量对股价波动持续性的解释作用.; There were 20 stocks selected from Shanghai and Shenzhen stock market as samples for the study.Based on the samples,we estimated and analyzed two groups of GARCH model: one included trading volume,another did not.The result shows when trading volume is included in the variance equation,all coefficients of volume at each model are significantly positive,and GARCH effects diminish significantly or even vanished.Our study takes China's stock markets as an empirical case and supports that daily trading volume used as a proxy for information arrival has significant explanatory power for the persistence of volatility. |
| 语种 | 中文 ; 中文 |
| 内容类型 | 期刊论文 |
| 源URL | [http://hdl.handle.net/123456789/38876]  |
| 专题 | 清华大学 |
| 推荐引用方式 GB/T 7714 | 杨炘,王邦宜,YANG Xin,等. 交易量与股价波动性:对中国市场的实证研究[J],2010, 2010. |
| APA | 杨炘,王邦宜,YANG Xin,&WANG Bang-yi.(2010).交易量与股价波动性:对中国市场的实证研究.. |
| MLA | 杨炘,et al."交易量与股价波动性:对中国市场的实证研究".(2010). |
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