[1]李付军,达庆利.中国股市量价波动性关系的实证分析[J].东南大学学报(自然科学版),2005,35(2):308-310.[doi:10.3969/j.issn.1001-0505.2005.02.032]
 Li Fujun,Da Qingli.Volatility between volume and price returns: evidence from Chinese stock markets[J].Journal of Southeast University (Natural Science Edition),2005,35(2):308-310.[doi:10.3969/j.issn.1001-0505.2005.02.032]
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中国股市量价波动性关系的实证分析()
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《东南大学学报(自然科学版)》[ISSN:1001-0505/CN:32-1178/N]

卷:
35
期数:
2005年第2期
页码:
308-310
栏目:
经济与管理
出版日期:
2005-03-20

文章信息/Info

Title:
Volatility between volume and price returns: evidence from Chinese stock markets
作者:
李付军 达庆利
东南大学经济管理学院, 南京 210096
Author(s):
Li Fujun Da Qingli
College of Economics and Management, Southeast University, Nanjing 210096, China
关键词:
交易量 价格收益 Granger TARCH EGARCH
Keywords:
volume price returns Granger TARCH EGARCH
分类号:
F830.91
DOI:
10.3969/j.issn.1001-0505.2005.02.032
摘要:
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.
Abstract:
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.

参考文献/References:

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备注/Memo

备注/Memo:
作者简介: 李付军(1970—),男,博士生; 达庆利(联系人),男,博士,教授,博士生导师, dql@public1.ptt.js.cn.
更新日期/Last Update: 2005-03-20