中国股市信息流、波动性与交易量关系

基于混合分布假定(MDH),研究了中国股票市场信息流、回报的波动性和交易量之间动态关系。结果表明,基于回报序列与基于交易量序列推断出的信息流过程并不是一致的,反映了我国股票市场的回报波动性与交易量对信息流过程的反应并不是一个协调的过程。鉴于价格波动与交易量之间的关系反映了信息披露、信息传递、市场对信息的评估与消化机制的特性,这种非协调性也可能根源与信息作用机制的非均衡性。

Research on the Relations of the Information Flow, Return Volatility and Trade Volume in Chinese Stock Market

The dynamic relations of the information flow, return volatility and trade volume in Chinese stock market is investigated based on the Mixture distribution hypothesis. The results indicate that the information flow deduced from the return series is different from that deduced from the trade volume series. The results are the evidence that the responses of the stock market volatility and trade volume are not consistent. Considering that the relation between the trade volume and volatility actually reflects the mechanisms of information disclosure, information transition, and evaluation and assimilation of the information in the stock market, this inconsistency in Chinese stock market perhaps is rooted in the unbalance of information process mechanism.