基于CARR模型的交易量与股价波动性动态关系的研究

股市交易量与股价变化的关系就一直是学术界与实务界所共同关心的主题。基于Chou(2005)提出的CARR模型对两者的动态关系问题进行了研究。首先分析了作为量价关系理论基础的混合分布假说理论在CARR模型中的适川性,进而基于混合分布假说理论对我国上证综合指数、深证成份指数以及随机抽取的十只个股进行了量价关系的实证检验。研究发现:混合分布假说理论同样适用于CARR模型,这证实了股价波动性的CARR效应的存在。实证的结果也证实了CARR模型无论是对于股票指数还是单只股票交易量都具有了良好的解释作用。因此,CARR模型与GARCH模型相比,在交易量与股价波动关系动态关系的研究领域可以得到更为稳健的结果。

The Relationship Study Between the Volume and the Price Volatility Based on the CARR Model

In the stock market,the dynamic relationship between the trade volume and the stock price volatility is always the subject which the academy and the practice care about together.Based on the CARR model which Chou proposed in 2005,we had conducted the research on this subject.First we analysis the serviceability that we apply the mixed distribution hypothesis theory to the CARR model,then we choose the Shanghai composite index,the Shenzhen ingredient index and ten single stocks which drew at random to carry on the empirical test based on the mixed distribution hypothesis theory.The research found that the mixed distribution hypothesis theory was suitable similarly for the CARR model,this confirmed that there existed the CARR effect in Chinese stock market.The empirical result confirmed that the CARR model have the good explanation power to the stock index and the single stocks.Therefore,the CARR model,compared with the GARCH model,can obtain the more robust result on the dynamic relationship between the trade volume and the stock price volatility.