【摘要】 文章首先将交易量分解为信息交易量和非信息交易量,然后将信息交易量加入广义自回归条件异方差模型(GARCH模型),来分析信息对收益波动的影响。结果发现,信息冲击对收益波动的影响十分显著,投资者对信息到达的反应存在过度反应、过度矫正、适度反应的过程。更多还原

【Abstract】 This paper holds that transaction volume can be divided into information transaction volume and non- transaction volume. With GARCH added to information transaction volume, the author analyses the impact of information on the income fluctuation, and found that the information impact is significant, and investors’ reaction to the arrival of information often goes through such a process as excessive reaction-excessive correction-proper reaction.更多还原