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本文利用中国沪深股市日交易数据,采用多元GARCH模型从信息传递的角度进行实证研究,结果表明:股价对交易量具有显著的波动溢出效应,但交易量对股价的波动溢出效应不明显。这种波动的单向溢出说明在应对信息的冲击上股价比交易量能更快地做出反应,其后才通过波动溢出在交易量上得到反映,股价波动对成交量波动具有先导作用。因此,从波动冲击传导和信息传递的角度看,单纯地将交易量视为股价变动信息的代理变量还缺乏稳健的统计证据。
This paper uses the daily trading data of China’s Shanghai and Shenzhen Stock Exchanges, using multivariate GARCH model to conduct empirical research from the perspective of information transfer. The results show that the stock price has a significant volatility spillover effect on the trading volume, but the volatility spillover effect of the trading volume on the stock price is not obvious. The one-way spillover of the volatility shows that the stock price can react faster than the trading volume in response to the impact of information, and then is reflected in the trading volume through volatility spillover. The volatility of the stock price plays a leading role in the trading volume fluctuations. Therefore, from the perspective of volatility shock transmission and information transmission, the proxy variables that simply treat the trading volume as the stock price change information still lack robust statistical evidence.