本文运用广义自回归条件异方差(GARCH)模型对中国股票市场的价格波动与信息流之间的关系进行了实证检验。结果发现,把即期交易量作为信息流的替代指标能够显著降低价格波动的持续性,说明在中国股票市场,信息流是产生资产回报ARCH效应的根源,这也验证了国际上流行的量价关系的混合分布假说(MDH)理论。 This paper uses the generalized autoregressive conditional heteroskedasticity (GARCH) model to test the relationship between price volatility and information flow in Chinese stock market. The results show that the use of spot trading volume as an alternative indicator of information flow can significantly reduce the persistence of price volatility, indicating that information flow is the root cause of asset return ARCH effect in China’s stock market, which also verifies the internationally popular price Relational Mixed Distribution Hypothesis (MDH) Theory.