论文部分内容阅读
基于混合分布假定(MDH),研究了中国股票市场的波动性与交易量之间的关系。研究结果表明,交易量与波动性存在显著的正相关,交易量对中国股市的波动具有一定程度的解释能力,非预期交易量比预期交易量对波动性的解释能力更强。但实证结果与国外成熟市场和理论模型的预测比较发现,中国股市存在特质性。考虑到交易量与波动性的关系事实上反映了信息披露、信息传递、市场对信息的评估与消化机制,因此这些特质性可能根源于中国股市的信息作用机制。
Based on the mixed distribution hypothesis (MDH), we study the relationship between volatility and trading volume in China’s stock market. The results show that there is a significant positive correlation between trading volume and volatility, and the trading volume has a certain degree of explanatory power to the fluctuation of China’s stock market. The unexpected trading volume is more capable of explaining the volatility than the expected trading volume. However, the empirical results compare with the forecast of mature markets and theoretical models in foreign countries and found that Chinese stock market has its own characteristics. Considering that the relationship between transaction volume and volatility actually reflects information disclosure, information transmission and market evaluation and digestion mechanism of information, these characteristics may be rooted in the information mechanism of China’s stock market.