[1]夏天,胡日东.MDH理论与日历效应下的中国股市量价关系[J].华侨大学学报(自然科学版),2007,28(4):444-448.[doi:10.3969/j.issn.1000-5013.2007.04.029]
　Xia Tian,Hu Ri-dong.The Study on the Relationship between the Trading Volume and the Price Volatility Based on the Day-of-the-Week Effect and MDH Theory[J].Journal of Huaqiao University(Natural Science),2007,28(4):444-448.[doi:10.3969/j.issn.1000-5013.2007.04.029]
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MDH理论与日历效应下的中国股市量价关系()
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《华侨大学学报（自然科学版）》[ISSN:1000-5013/CN:35-1079/N]

卷:
第28卷
期数:
2007年第4期
页码:
444-448
栏目:
出版日期:
2007-10-20

文章信息/Info

Title:
The Study on the Relationship between the Trading Volume and the Price Volatility Based on the Day-of-the-Week Effect and MDH Theory
文章编号:
1000-5013(2007)04-0444-05
作者:
夏天; 胡日东
华侨大学商学院; 华侨大学商学院 福建泉州362021; 福建泉州362021
Author(s):
Xia Tian;  Hu Ri-dong
College of Commerce, Huaqiao University, Quanzhou 362021, China
关键词:
分布混合假说理论;  日历效应;  广义自回归条件异方差模型;  股价波动性;  交易量;  中国股市
Keywords:
MDH theory;  day-of-the-week effect;  GARCH;  the volatility;  the trading volume;  the Chiniese stock market
分类号:
O212; F830.91
DOI:
10.3969/j.issn.1000-5013.2007.04.029
文献标志码:
A
摘要:
基于分布混合假说(MDH)理论的数学推导,以我国深沪股市的大盘指数为研究对象,检验原始交易量、包含自相关性的交易量对广义自回归条件异方差模型(GARCH)效应的解释效果,并分析日历效应对交易量与股价波动性关系的特殊影响.结果表明,GARCH模型可以很好地拟合中国股市的股价波动持续性问题; 当引入原始交易量以后,股价波动性在一定程度上可以为原始交易量所解释,而包含自相关性的交易量对股市GARCH效应并无很好的解释力.经实证分析证实,股价的日历效应对于上海市场中交易量对股价波动性的解释有着推波助澜的作用.
Abstract:
Bsaed on the mathematical inference with the mixture of distribution hypothesis(MDH) theory,we take the stock index of Shanghai and Shenzhen markets as the research object and introduce the real trading volume and the trading volume considering the autocorrelation and the day-ofthe-week effect into the generalized autoregressive conditional heteroskedasticity(GARCH) model.The study finds that the GARCH effect can explain the chinese flock market′s volatility,the real trading volume has already had the explanation effect to the volatility of the stock index to a certain extent.But the trading volume considering the autocorrelation can′t explain the GARCH effect of the stock price effectively.The day-of-the-week effect has the function on the explanation which adds fuel to the flames regarding the trading volume to the stock price volatility.

参考文献/References:

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备注/Memo

备注/Memo:
教育部高校博士学科点专项科研基金资助项目(20050385001)
更新日期/Last Update: 2014-03-23