摘要
文章基于2001-2016年间日度数据,首先验证了沪深两市个股和指数都存在交易量和波动率之间的正相关。将交易量分解为交易规模和交易次数,发现中国A股市场上交易规模和交易次数各自对波动率具有解释能力。交易规模和交易次数同时作为解释变量时,虽然交易规模在2009年前子样本对波动率不具解释能力,但是2009年后子样本和全样本中对波动率具有解释能力。考虑价格冲击之后,交易次数在全样本和两个子样本中对波动率都具有解释能力,说明中国市场上交易规模和交易次数对波动率的解释能力是并存的。进而证明了交易量和波动率之间的正相关在金融危机期间和平时并无显著差异。
Based on the daily data of individual stocks and indices from 2001 to 2016 at Shanghai and Shenzhen Exchange, this paper establishes the contemporaneous positive correlation between trading volume and volatility. Decomposing volume into trade size and number of transactions, we find that either trade size or number of transactions is able to explain volatility respectively. When they both serve as independent variables to explain volatility, trade size has power to explain volatility in the after-2009 sample and whole sample, though it has no explaining power in the before-2009 sample. The explaining power of number of transactions on vola- tility manifests not only in both sub-samples but also in the whole sample after taking price impact into account, indicating the co-exist- ence of the explaining power of both trade size and number of transactions on volatility within the China stock market. We also show that the positive correlation between trading volume and volatility during financial crisis is not significantly different from the normal period.
出处
《商业经济与管理》
CSSCI
北大核心
2017年第9期72-85,共14页
Journal of Business Economics
基金
国家自然科学基金青年项目"盈余公告期间个人投资者买入需求流动性?卖出提供流动性?"(71401155)
教育部人文社科基金青年项目"证券价格波动机理研究:基于个人投资者交易行为的视角"(11YJC790133)
浙江省高校人文社会科学重点研究基地(浙江工商大学应用经济学)资助项目(JYTjr20111310)
关键词
交易量
波动率
交易规模
交易次数
金融危机
trading volume
volatility
trade size
number of transactions
financial crisis
