中国股市量价波动性关系的实证分析

从实证角度对我国股票市场的价格收益与交易量变动之间的动态关系进行了较为全面的分析.研究结果表明,沪深两市日价格收益序列存在着GARCH现象,价格收益和交易量变动之间存在正相关关系;收益和交易量的变动之间存在双向Granger线性因果关系;两市波动存在不对称效应,并对基于加入交易量的TARCH模型和EGARCH模型的结果进行了比较,表明EGARCH模型的拟合结果好于TARCH模型.

Volatility between volume and price returns: evidence from Chinese stock markets

The dynamic volatility relations between the volume and price returns are analyzed by using the evidence from Chinese stock markets. The results show that the GARCH(generalized autoregressive conditional heteroskedasticity) effect occurs in daily price return series. Moreover, the positive relationship and bi-direction linear Granger causality are maintained between price returns and volume. There exists volatility asymmetry in Chinese stock markets. By comparing the impact of TARCH (threshold autoregressive conditional heteroskedasticity) and EGARCH(exponential generalized autoregressive conditional heteroskedasticity), it can be seen that the imitation result from EGARCH model is better than that from TARCH model.