成交量与收益、收益波动的动态关系

通过建立相关模型和实证研究,探讨了我国股市的价量关系.研究结果表明:(1)成交量与收益互为Granger因果关系,两者之间存在着信息反馈;(2)同期成交量对收益波动有显著的正效应,在GARCH-M模型中引入成交量因子后显著降低了收益波动的ARCH效应;(3)把成交量分离为期望成交量和非期望成交量之后,发现只有非期望成交量对收益、收益波动有显著的正相关关系,而期望成交量对它们的影响不显著;(4)收益波动具有杠杆效应,负的冲击比正的冲击会造成更大的收益波动.

Dynamic relationship between trading volume,returns and return volatility

The relationship between trading volume and price was explored by model establishment and empirical study. The analysis results indicate that there exists Granger - cause relationship between trading volume and returns, which means that there is an information feedback between them; the contemporaneous volume has positive effects on return volatility, and significantly decreases the ARCH effect of return volatility; the unexpected trading volume is positively related to returns and return volatility, while the expected trading volume does not; furthermore, there exists lever effects in return volatility.