股票交易量对收益率波动影响的实证研究

摘要

基于GARCH模型，对中国上证综指和深证综指每日的收盘价格和交易量进行分析，检验未预期到的交易量冲击对收益率波动的影响。通过采用Mvol和Rvol两种模型来分别代表短期和长期的交易量冲击的分析方法，得出结果显示， Mvol模型中所描述的长期交易量冲击对股市收益率波动的影响不如Rvol模型中所描述的短期交易量冲击对股市收益率波动的影响强烈。该实证结果表明，由于中国股票市场上存在的大量投机行为，较大的交易量冲击能够给中国股市收益率带来较大的影响，使得股市收益率波动性增大，在特定的时点有可能给中国的股市带来反转效应而非冲量效应。%Based on the GARCH model, the daily closing price and trading volume from the Chinese Shanghai Composite Index and Shenzhen Composite Index are analyzed, and tested the impact of the unexpected trading volume on the return volatility. The Mvol and Rvol, two kinds of models are used to represent short-term and long-term trading volume impact analysis method. The results show the impact of the long-term trading volume described in the Mvol model is not as strong as the impact of the short-term trading volume described in the Rvol model on the return volatility of the stock market. The empirical results show that , because of existing a large number of speculative behavior in the Chinese stock market, the impact of the larger trading volume can give a greater impact on China's stock market returns. Increasing the stock market returns volatility , there may be bringing China's stock market reversal effect rather than impulse effect at a particular point.