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采用上海股市 2 0 0 1年 1月 2日至 2 0 0 1年 6月 2 9日期间的每 5分钟交易数据 ,用引导关系检验法对上海股市日内波动性与成交量变动率的关系进行了实证分析 ,结果表明 ,它们之间存在双向线性引导关系 ,这意味着可以利用成交量变动率的线性模型来预测日内波动性 ;但它们之间不存在非线性引导关系 ,这意味着在预测上海股市日内波动性时 ,不能得出支持非线性预测模型的结论 .
Using the 5-minute transaction data from January 2, 2001 to June 29, 2001 in Shanghai stock market, the relationship between the volatility in the Shanghai stock market and the trading volume during the trading day was analyzed by the bootstrap relationship test The empirical analysis shows that there exists a bidirectional linear relationship between them, which means that a linear model of the trading volume volatility can be used to predict the intraday volatility; however, there is no nonlinear guiding relationship between them, which means that in the forecast Shanghai stock market intraday volatility, can not draw conclusions to support the nonlinear prediction model.