数量经济技术经济研究
數量經濟技術經濟研究
수량경제기술경제연구
The Journal of Quantitative & Technical Economics
2008年
1期
97~108
,共null页
价量关系 波动溢出效应 多元GARCH模型
價量關繫 波動溢齣效應 多元GARCH模型
개량관계 파동일출효응 다원GARCH모형
Stock Price and Volume; Volatility Spillover Effect; Multivariable GARCH Model
本文利用中国沪深股市日交易数据,采用多元GARCH模型从信息传递的角度进行实证研究,结果表明:股价对交易量具有显著的波动溢出效应,但交易量对股价的波动溢出效应不明显。这种波动的单向溢出说明在应对信息的冲击上股价比交易量能更快地做出反应,其后才通过波动溢出在交易量上得到反映,股价波动对成交量波动具有先导作用。因此,从波动冲击传导和信息传递的角度看,单纯地将交易量视为股价变动信息的代理变量还缺乏稳健的统计证据。
本文利用中國滬深股市日交易數據,採用多元GARCH模型從信息傳遞的角度進行實證研究,結果錶明:股價對交易量具有顯著的波動溢齣效應,但交易量對股價的波動溢齣效應不明顯。這種波動的單嚮溢齣說明在應對信息的遲擊上股價比交易量能更快地做齣反應,其後纔通過波動溢齣在交易量上得到反映,股價波動對成交量波動具有先導作用。因此,從波動遲擊傳導和信息傳遞的角度看,單純地將交易量視為股價變動信息的代理變量還缺乏穩健的統計證據。
본문이용중국호심고시일교역수거,채용다원GARCH모형종신식전체적각도진행실증연구,결과표명:고개대교역량구유현저적파동일출효응,단교역량대고개적파동일출효응불명현。저충파동적단향일출설명재응대신식적충격상고개비교역량능경쾌지주출반응,기후재통과파동일출재교역량상득도반영,고개파동대성교량파동구유선도작용。인차,종파동충격전도화신식전체적각도간,단순지장교역량시위고개변동신식적대리변량환결핍은건적통계증거。
Using daily trading data of Shanghai and Shenzhen stock markets, we investigate the information transmission between price and volume through a multivariable GARCH model. The results show that there exists a significant volatility spillover effect from price to volume,while there is no obvious spillover effect from volume to price. The unidirectional volatility spillover effect proves that stock price responses to information more quickly than trading volume in the information transmission process, and the price volatility is leading to volume volatility. So from the point of fluctuation shock and information transmission, simply regarding trading volume as the proxy variable of the stock price volatility still lacks robust statistical evidence.