摘要
采用上海股市 2 0 0 1年 1月 2日至 2 0 0 1年 6月 2 9日期间的每 5分钟交易数据 ,用引导关系检验法对上海股市日内波动性与成交量变动率的关系进行了实证分析 ,结果表明 ,它们之间存在双向线性引导关系 ,这意味着可以利用成交量变动率的线性模型来预测日内波动性 ;但它们之间不存在非线性引导关系 ,这意味着在预测上海股市日内波动性时 ,不能得出支持非线性预测模型的结论 .
In this paper, linear and nonlinear causality tests are used to examine the relationship between intraday return volatility and trading volume, using the high-frequency data of the Shanghai Stock Exchange recorded every five minutes from January 2, 2001 through June 29, 2001. We find evidence of significant bidirectional linear causal relationship and no evidence of nonlinear causal relationship between these two series. Although linear causality running from volume to volatility suggests that it may be possible to use linear models containing lagged volume to predict volatility, no nonlinear causality running from volume to volatility suggests that no such inference can be make for supporting the nonlinear forecasting models containing lagged volume.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2003年第2期19-23,共5页
Systems Engineering-Theory & Practice
