| 基于MDH假说的中国沪深股市量价关系实证研究 |
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| 引用本文： | 李双成,邢志安,任彪. 基于MDH假说的中国沪深股市量价关系实证研究[J]. 系统工程, 2006, 24(4): 77-82 |
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| 作者姓名： | 李双成 邢志安 任彪 |
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| 作者单位： | 1. 天津大学,管理学院,天津,300072
2. 河北经贸大学,数学与统计学学院,河北,石家庄,050061 |
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| 基金项目： | 河北省科技厅科研项目;河北省教育厅科研项目 |
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| 摘 要： | GARCH类模型在研究股票市场量价关系时得到了广泛的应用。本文基于一种新的GARCH模型，把股市的波动分解为长期波动趋势和短期波动成分，验证中国股票市场是否符合研究量价关系的主流理论——混合分布假说理论，并得出中国股票市场波动的一般性及特质性。其研究结论对监管机构把握股市的运行规律，制定合理有效的监管政策具有重要的指导意义。
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| 关 键 词： | 量价关系 杠杆效应 MDH假说 非对称成分GARCH-M模型 |
| 文章编号： | 1001-4098（2006）04-0077-06 |
| 收稿时间： | 2005-11-20 |
| 修稿时间： | 2005-11-202006-01-21 |
The Relationship between Price Volatility and Trading Volume in the China Stock Markets Based on Mixture Distribution Hypothesis |
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| LI Shuang-cheng,XING Zhian,REN Biao. The Relationship between Price Volatility and Trading Volume in the China Stock Markets Based on Mixture Distribution Hypothesis[J]. Systems Engineering, 2006, 24(4): 77-82 |
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| Authors: | LI Shuang-cheng XING Zhian REN Biao |
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| Affiliation: | 1. School of Management, Tianjin University, Tianjin 300072, China; 2. Hehei University of Economic and Trade, Shijiazhuang 050061 ,China |
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| Abstract: | GARCH kind of model is used broadly to study the relation between price volatility and trading volume.A new GARCH model which can divide market volatility into long run volatility and transitory component is introduced to examine the primary theory of Mixture distribution hypothesis(MDH) on price-volume relationship in China stock market.The volatility characteristics of China stock market are concluded.The results of this paper are important for the wardship institution to realize the behavior laws of stock market and to constitute effective policy. |
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| Keywords: | Price-volume Relation Leverage Effect MDH Asymmetric Component GARCH-M Model |
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