深圳股市收益率及其波动性与交易量关系的经验分析.pdfVIP

深圳股市收益率及其波动性与交易量关系的经验分析 戴晓凤 张清海 文章摘要 本文检验了涨跌停板实施后的中国深圳成份指数的收益率及其波动性与交易量之 间的关系。结果发现，第一、只存在从收益率到交易量的格兰杰因果关系，证实了我们通常所认为 的“价随量涨”是错误的。第二、验证了混合分布假说（MDH ）在深市的成立。但与国外相关研究 不同的是，仅以交易量作为到达市场的信息的 代变量，MDH 理论并不成立。而把交易量分解成 非预期和预期两部分时，发现两者都对收益率的波动性有显著的影响，减少了波动性持久现象，说 明MDH 理论在我国深市仍然是成立的。 关键词：收益率 交易量 格兰杰因果关系 混合分布假说 波动性持久 Trade volume and Return-volatility relationship on the Shenzhen stock market： an empirical analysis Abstract This article examines the relationship between the trade volume and return-volatility of Shenzhen component index after the implementation of limit up or down. We got two conclusions. First, there only exists Granger Causality from return to trade volume, which verified that the commonly believed trade volume makes price move” is wrong. Second, the mixture of distribution hypothesis (MDH) is held on Shenzhen stock market. Different from the relative researches abroad, MDH is not held if the trade volumes are use as substitution variable of information that reached the market. However, both two parts have significant influence to the volatility of return when we divide the trade volume into expected and non-expected ones, which reduced the volatility persistence, and demonstrated that MDH is held on Shenzhen stock market. Keywords: Return; Trade volume; Granger Causality; Mixture of distribution hypothesis; Volatility persistence 1.引言：股市收益率及其波动性与交易量的关系问题 交易量是衡量市场运行特征的有效变量。华尔街流传着一句名言 价随量涨（It takes volume to make price move ）。意思是说，交易量的变化会引起价格的变化，即存在着由交易量变化导致价格变