摘要
本文根据上海证券市场上证综合指数2005年1月1日到2006年1月1日的复合收益率和日成交量,用GARCH模型描述日成交量对复合收益率的波动性影响。在GARCH模型中加入当期交易量、滞后一期的交易量,结果表明当期交易量变化率能明显削弱收益率条件方差的波动性,而滞后一期的成交量只通过对当期的成交量间接的影响复合收益率。
Based on the compound yield rate and daily turnover from the composite index of Shanghai stock market between 2005 and 2006, the GARCH model reveals the impact of daily turnover on the volatility of compound yield rate.When the current transaction volume and the volume that has lagged a session are added to GARCH model, the result shows that current transaction volume rate of change significantly weakened the volatility of conditional variance of yield, while the turnover that has lagged a session can only affect compound yield rate indirectly through the current turnover
出处
《上海金融学院学报》
2007年第3期27-31,共5页
Journal of Shanhai Finance University
作者简介
邓晓益（1955-）男，重庆市人，重庆大学贸易与行政学院教授。
郭庆春（1979-）男，山东潍坊市人，重庆大学贸易与行政学院产业经济学硕士研究生。
