中国股市价格变动与交易量关系的实证分析—基于MCMC的DC-MSV模型

部分内容如下：

中国股市价格变动与交易量关系的实证分析
--基于MCMC的DC-MSV模型
涂刚 叶阿忠
(福州大学数量经济研究所)
摘要：股票的价格变动与交易量之间究竟存在什么样的关系，国内外学者对此做了大量的研究，但是他们大多从静态角度分析两者之间的关系, 因此存在一定局限性，本文从动态角度出发，采用基于MCMC的DC-MSV模型来对中国股市价格和交易量关系进行实证分析，得出了一些意义的结论：(1)三个指数相关过程都具有很强的持续性，这也说明了在分析价格变动和交易量之间的关系时，考虑动态相关性的重要性。(2)三个指数的日收益和交易量的动态相关系数都比较小，大约为在0.3附近，而且变化很小。(3)三个指数的日收益的波动性都比交易量的波动性要小得多，沪深300指数和上证180指数的日收益和交易量的波动性变化都不大，只有深证100指数的波动性变化要相对大一些。
关键词：价格变动与交易量，DC-MSV模型，MCMC，Winbugs

Empirical Analysis of Relationship Between Price
Variability and Volume in China’s Stock Market
—DC-MSV Model Based on MCMC
Tu Gang & Ye Azhong
(Institute of Quantitative Economics, Fuzhou University)
Abstract：Many empirical researches have made on the relationship between price variability and volume, but there are limits on it because most of the researches are from the static standpoint, this paper builds a DC-MSV model based on MCMC ,and makes an empirical analysis of the relationship between price variability and volume from the dynamic standpoint, some useful conclusion have drawn:(1)the correlation process are high persistent of three indexes, so it is important to analyze the relationship between price variability and volume from the dynamic standpoint.(2)the dynamic correlation between price variability and volume of the three indexes are small ,the coefficients are all about 0.3, and the variability of the coefficients are not obvious.(3)the volatilities of the daily return are small than the volatilities of the volume in all of the three indexes, the changes of the volatilities of the daily return and volume in hushen 300 index and shangzheng 180 index are small,only the shenzheng 100 index is bigger.
Key words: price variability and volume, DC-MSV model, MCMC,Winbugs