摘要
本文在对沪市股票日收益率进行GARCH效应检验的基础上,首先以交易量作为市场上随机信息流的代理变量对GARCH模型加以修正,并由此考察收益率波动的异方差特性;然后再按照异质信息流对交易量进行分解,以此考察收益率波动的对称性。结果发现,在引入交易量之后,原本显著的GARCH效应趋于消失,且正信息对收益率波动的影响显著小于负信息的情况。此外,股票上市时间愈长,则交易量代理其信息流愈稳健,且异质信息下的不对称性也愈显著。
Basing on the test of GARCH effect of stocks＇ return in Shanghai stock market, I extent the GARCH model and test the stocks＇ heteroskedasticity by taking the volume as a proxy variable of stochastic information flow in the market. Then, I decompose the volume by different information flow to test the symmetry of return volatility. I find that the GARCH effect tends to disappear after adding the volume into GARCH model, and the positive information has a significantly less effect on return volatility. As for a stock, the earlier on list, the more robust of taking the information flow as the proxy variable and the more asymmetric of return volatility.
出处
《南开管理评论》
CSSCI
2006年第3期92-97,共6页
Nankai Business Review
关键词
混合分布假说
随机信息流
GARCH
效应
交易量
Mixture Distribution Hypothesis
Stochastic Information Flow
GARCH Effect
Volume
