CAJ | 학술논문

本文首先通过建立ARIMA（p，0，g）模型将交易量变动率分成预期的和非预期的两个变量，然后列入到二元GARCH（1，1）模型的条件均值方程中，来研究股票市场和权证市场之间的信息不对称关系。同时通过使用BEEK模型的设定形式作为GARCH模型的条件方差方程，来研究股票市场和权证市场之间的交易量波动溢出关系。通过实证研究，结果表明我国的股票市场和权证市场之间确实存在显著的信息不对称效应和双向的交易量波动溢出效应，且这种波动溢出现象也具有一定的“不对称性”。
본문수선통과건립ARIMA（p，0，g）모형장교역량변동솔분성예기적화비예기적량개변량，연후렬입도이원GARCH（1，1）모형적조건균치방정중，래연구고표시장화권증시장지간적신식불대칭관계。동시통과사용BEEK모형적설정형식작위GARCH모형적조건방차방정，래연구고표시장화권증시장지간적교역량파동일출관계。통과실증연구，결과표명아국적고표시장화권증시장지간학실존재현저적신식불대칭효응화쌍향적교역량파동일출효응，차저충파동일출현상야구유일정적“불대칭성”。
In this paper, we investigate the asymmetric information effect and volatility spillover effect between the trading volume of warrants and their underlying spot trading volume through the bivariate GARCH model. At first, we classifiy volume volatility into two parts with the ARIMA model： the expected and the unexpected, and we add them all into the conditional mean equations of the bivariate GARCH model, in order to investigate the asymmetric information relationship. At the same time, we use the form of the BEEK model as the conditional variance equations to investigate the volatility spillover relationship. The empirical study shows： there indeed exists significant asymmetric information effect and bi directional volume volatility spillover effect with asymmetry.