| 日交易量与股票日收益GARCH效应 |
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| 引用本文： | 魏正红,张术林.日交易量与股票日收益GARCH效应[J].运筹与管理,2005,14(3):131-134,105. |
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| 作者姓名： | 魏正红 张术林 |
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| 作者单位： | 1. 深圳大学,师范学院数学系,广东,深圳,518060
2. 武汉大学,数学与统计学院,湖北,武汉,430072 |
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| 摘 要： | 本文利用中国股票市场的48只具有代表性的股票，对股票日收益的GARCH效应进行了实证研究。结果表明，对于交易活跃的市场，股票日交易量可以很好的解释股票日收益的GARCH效应，当在GARCH模型中引入日交易量作为解释变量，我们发现GARCH效应显著降低，但依然显著存在。
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| 关 键 词： | 股票 股票日收益 日交易量 GARCH效应 波动集群性 信息流假说 |
| 文章编号： | 1007-3221(2005)03-0131-04 |
Daily Trading Volume and GARCH Effects in Daily Stock Return |
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| WEI Zheng-hong,ZHANG Shu-lin.Daily Trading Volume and GARCH Effects in Daily Stock Return[J].Operations Research and Management Science,2005,14(3):131-134,105. |
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| Authors: | WEI Zheng-hong ZHANG Shu-lin |
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| Institution: | WEI Zheng-hong~1,ZHANG Shu-lin~2 |
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| Abstract: | In this paper, we study the GARCH effects in daily stock return and the relationship between daily trading volume and volatility. It is shown that the daily trading volume can be a good explanation for GARCH effects. When the daily trading volume is included in the GARCH equation,the GARCH effects and volatiliy cluster decrease, but they still exist. |
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| Keywords: | stock daily stock return daily trading volume GARCH effcts volatility cluster information flows |
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