【摘要】 使用传统计量经济学的方法研究深圳股市波动性与成交量的关系 ,结果表明加入成交量的波动性模型增强了对深圳股票市场波动性的解释能力。同时分析深圳股市波动性与成交量的二维动力学系统 ,结果表明在某子区域内系统是局部不稳定的 ,并指出对股市波动性建模的传统计量经济学方法 ,并没有考虑到这种股票市场运动机制本身的不稳定性。更多还原

【Abstract】 This paper investigates the relation between return volatility and trading volume for Shenzhen stock market. The results indicate that the trading volume appears to have predictive power on Shenzhen stock market volatility. In addition,this paper analyzes the dynamics of the two dimentional dynamical system for stock market volatility and tradiing volume. The results indicate instability of stock is local unstable in certain subregion and furthermore reveal that the effect of the instability of stock market mechanism itself upon the volatility isn’t considered in the traditional econometrical models for volatility.更多还原