金融系统的非线性分析:交易量对股价波动的非线性影响

如何研究股价波动和成交量之间的关系一直是金融系统研究中感兴趣的话题.Lamoureux 和 Lastrapes 认为选择日交易量度量每天流入市场的信息量是合理的,但他们假定交易量对波动率的影响是线性的.提出部分非线性GARCH模型分析交易量对股票市场波动率的影响,基于GARCH模型局部线性化非参数似然估计方法,对中国证券市场股票价格和交易量数据进行实证研究.结果表明,交易量对股价波动的影响具有显著的非线性性.

NONLINEAR ANALYSIS OF FINANCIAL SYSTEMS:EXPLORING THE NONLINEAR IMPACT OF THE TRADING VOLUME ON THE PRICE VOLATILITY

Exploring the relationship between price volatility and trading volume in financial market has been a hot topic in the study of financial systems.Lamoureux and Lastrapes advance that the daily trading volume is a proper measure of the information arrivals at the market, but they assume that this impact of the trading volume on the price volatility is linear. In this paper, we propose a partially nonlinear GARCH model, together with local linear maximum likelihood estimation method, to examine the nonlinear relationship between the trading volume and the price volatility. Using the data sets of 20 stocks from the Chinese stock market, we empirically demonstrate that the impact of the trading volume on the stock price volatility is significantly nonlinear. An empirical parametric power function is also suggested for this nonlinear impact, which is more significantly reasonable than the linear impact hypothesis.