【摘要】 利用个股数据资料和非对称成分GARCH-M模型对中国股票市场的量价关系进行了实证研究。结论显示:股价的短期波动主要由非预期交易量解释,即非预期交易量所揭示的新信息是产生价格波动的根源;中国股票市场部分个股存在明显的杠杆效应,利空消息对市场波动的冲击大于同等程度的利好消息对市场波动的冲击;非预期交易行为对市场波动的冲击存在显著的非对称特征,正的交易量冲击(交易量放量冲击)比同等程度的负交易量冲击(交易量缩量冲击)对市场波动的影响更大。更多还原

【Abstract】 This paper conducts empirical study of the relationship between stock price and trading volume with the help of data of some stocks and asymmetric component GARCH-M.The conclusions are that the short-term volatility of stock price is mainly interpreted by unexpected part of volume,that is to say,the new information disclosed by expected trading volume is the root cause of price volatility;some of China’s stocks have apparent leverage effect and the impact of bad news on market volatility is greater than that of bad news of the similar degree;the impact of unexpected trading behaviors on market volatility takes on obvious asymmetrical features and the positive trading volume impact generate greater impact on market volatility than negative one.更多还原