金融系统的非线性分析:交易量对股价波动的非线性影响

彭海伟;卢祖帝

系统科学与数学 ›› 2009, Vol. 29 ›› Issue (11) : 1527-1541.

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PDF(780 KB)
系统科学与数学 ›› 2009, Vol. 29 ›› Issue (11) : 1527-1541. DOI: 10.12341/jssms08483
论文

金融系统的非线性分析:交易量对股价波动的非线性影响

    彭海伟(1), 卢祖帝(2)
作者信息 +

Nonlinear Analysis of Financial Systems: Exploring the Nonlinear Impact of the Trading Volume on the Price Volatility

    PENG Haiwei(1), LU Zudi(2)
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文章历史 +

摘要

如何研究股价波动和成交量之间的关系一直是金融系统研究中感兴趣的话题.Lamoureux 和 Lastrapes 认为选择日交易量度量每天流入市场的信息量是合理的,但他们假定交易量对波动率的影响是线性的.提出部分非线性GARCH模型分析交易量对股票市场波动率的影响,基于GARCH模型局部线性化非参数似然估计方法,对中国证券市场股票价格和交易量数据进行实证研究.结果表明,交易量对股价波动的影响具有显著的非线性性.

Abstract

Exploring the relationship between price volatility and trading volume in financial market has been a hot topic in the study of financial systems.Lamoureux and Lastrapes advance that the daily trading volume is a proper measure of the information arrivals at the market, but they assume that this impact of the trading volume on the price volatility is linear. In this paper, we propose a partially nonlinear GARCH model, together with local linear maximum likelihood estimation method, to examine the nonlinear relationship between the trading volume
and the price volatility. Using the data sets of 20 stocks from the Chinese stock market, we empirically demonstrate that the impact of the trading volume on the stock price volatility is significantly nonlinear. An empirical parametric power function is also suggested for this nonlinear impact, which is more significantly reasonable than the linear impact hypothesis.

关键词

金融系统 / 股价波动性 / 成交量 / GARCH模型 / 局部线性化最大似然估计 / 非线性.

Key words

Financial systems / volatility / trading volume / GARCH model / local linear maximum likelihood method / nonlinear impact.

引用本文

导出引用
彭海伟 , 卢祖帝. 金融系统的非线性分析:交易量对股价波动的非线性影响. 系统科学与数学, 2009, 29(11): 1527-1541. https://doi.org/10.12341/jssms08483
PENG Haiwei , LU Zudi. Nonlinear Analysis of Financial Systems: Exploring the Nonlinear Impact of the Trading Volume on the Price Volatility. Journal of Systems Science and Mathematical Sciences, 2009, 29(11): 1527-1541 https://doi.org/10.12341/jssms08483
中图分类号: 91G70    62P05   
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