| 基于CARR模型的上海股市量价关系实证研究 |
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| 引用本文： | 佟孟华,吴成明. 基于CARR模型的上海股市量价关系实证研究[J]. 辽宁工程技术大学学报(社会科学版), 2009, 11(1): 16-19 |
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| 作者姓名： | 佟孟华 吴成明 |
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| 作者单位： | 东北财经大学,数学与数量经济学院,辽宁,大连,116025 |
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| 摘 要： | 为研究股票市场的成交量与股价波动性之间的动态关系,引用台湾著名学者chou（2005）提出的CARR模型,实证分析上海股市成交量与股价波动性之间的动态关系,检验结果表明．CARR模型比GARCH模型的估计结果更为稳健,非预期成交量尤其是超过均值部分对股价波动性有一定的解释作用,而预期成交量对股价波动性的影响并不显著。
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| 关 键 词： | CARR模型 非预期成交量 预期成交量 |
Empirical research on relation between volume and price based on the CARR model in Shanghai stock market |
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| TONG Menghua,WU Chengming. Empirical research on relation between volume and price based on the CARR model in Shanghai stock market[J]. Journal of Liaoning Technical University(Social Science Edition), 2009, 11(1): 16-19 |
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| Authors: | TONG Menghua WU Chengming |
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| Affiliation: | Econometric College;Dongbei University of Finance & Economics Dalian 116025;China |
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| Abstract: | In order to study the dynamic relation between volume and price,the research was conducted on this subject of Shanghai stock market based on the CARR model which Chou proposed in 2005.The empirical result shows that the CARR model obtains more robust result than GARCH model.Unexpected volume especially for the exceeding average part has good explanation for the volatility of stock's price,but expected volume doesn't represent remarkable effect. |
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| Keywords: | CARR model unexpected trading volume expected trading volume |
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