国内外学者大多从静态角度探讨股票收益和交易量关系,存在较大缺陷.应用恩格尔提出的DCC多元GARCH模型从动态角度对股票市场上股指收益和交易量变化之间关系进行探讨.结果发现各个市场之间的动态相关系数存在较大的差异,各个市场总体正相关机会远大于负相关,除了我国深圳股市A、B股市场外,其它市场支持条件相关系数动态变动的论断. Domestic and foreign scholars mostly discuss the relationship between stock returns and trading volume from the static point of view, which has a big flaw.Using Engel’s DCC multivariate GARCH model to explore the relationship between stock returns and trading volume changes in the stock market from a dynamic point of view, There is a big difference between the dynamic correlation coefficient of the market, the overall positive correlation between the various markets is far greater than the negative correlation, in addition to China’s Shenzhen stock market A, B market, the support of other market conditions dynamic correlation coefficient assertion.