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本文首先通过建立ARIMA(p,0,q)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”。
In this paper, the ARMAA (p, 0, q) model is used to divide the trading volume variability into two variables, expected and unintended, and then included in the conditional mean equation of the binary GARCH (1,1) model Asymmetric Information between Stock Market and Warrant Market. At the same time, by using the setting form of BEEK model as the conditional variance equation of GARCH model, this paper studies the trading volume fluctuation between stock market and warrant market. Through empirical research, the results show that there is indeed a significant information asymmetry effect and a two-way trading volume volatility spillover effect between China’s stock market and warrants market, and this phenomenon of volatility spillover also has some “asymmetry.”