, ;21 : A. ]. Ali F. Darrat,Shafiqur Rahman,Maosen Zhong(2003) 5, EGARCH2M

Μέγεθος: px

Εμφάνιση ξεκινά από τη σελίδα:

Download ", ;21 : A. ]. Ali F. Darrat,Shafiqur Rahman,Maosen Zhong(2003) 5, EGARCH2M"

Θυία Ἁλκυόνη Σερπετζόγλου
7 χρόνια πριν
Προβολές:

1 (2005) ,2 1, (11, , ) EGARCH(1,1)2M ARMA(4,3)2ARCH(1), ( R - V), ( h R - V) ( h R - h V ),, Lyapunov EGARCH2M F830 A Empirical Analysis of the Relation Between Daily Return Rate, Volatility and Trading Volume of Shanghai Stock Market Comprising Index Based on Nonlinar Dynamics LUO Deng2yue 1,2,WANG Chun2feng 1 (11School of Management,Tianjin University,Tianjin ,China 21School of Management,Shandong University,Jinan ,China) Abstract This paper investigates the relationships between return rate, return volatility and trading volume of Shanghai Stock Market Comprising Index We measure return volatility by EGARCH(1,1) 2M(exponential generalized autoregressive conditional heteroscedasticity) model and volatility of trading volume by ARMA ( 4, 3) 2ARCH ( 1) model we build two2dimensional dynamic system of return rate and trading volume ( R - V), return volatility and trading volume( h R - V),return volatility and volume volatility( h R - h V ) by using stepwise regression method,and investigate the dynamic behaviour of these systems The results indicate that there does not exist chaos in these two2 dimensional dynamic systems composed by return and trading volume,return volatility and trading volume,although many empirical analysis indicate that the time series of stock market return rate is chaotic Key words return volatility trading volume Lyapunov exponent stepwise regression EGARCH2M model chaos 1,,,, [1 9 ] Ali F Darrat,Shafiqur Rahman,Maosen Zhong(2003) 5, EGARCH2M, (MDH),, ( ) ( ),,,,, Tsinghua Tongfang Optical Disc Co, Ltd All rights reserved

2 , ( SIAH) [1 ] Martin T Bohl, Harald Henke (2003) (MDH) 20,,,,, [2 ] (1998) Granger Back2Brock,, [4 ] (2000), [5 ] (2003), Granger ( ), [6,, ] (2002),,, [7, ] (2003) GARCH2M,,, [8 ] (2003) [9,, ],, ( ),, ( ), [4 ],, Var[ P t V t ] = cv t, 2 [5 ], ( ),, [6 ] [7 ] [7,, ] [10 ] (2002) [11 Lyapunov, ] (2002), Lyapunov 0176 Lyapunov [12 ] (2004), 2002,, Lyapunov,, ( )?,,, ( ),,, Tsinghua Tongfang Optical Disc Co, Ltd All rights reserved

3 7 43, 2 (http ΠΠwww stockstar com) ( P t ) (L t ), ,, 500 P t t R ( t) = R t = ln ( P t ΠP t - 1 ) V ( t) = V t = ln ( L t ) t ( L t ) V ( t) = V t = ln ( V t ΠV t - 1 ) 10 h R ( t) h V ( t) ( R t ) ( V t ) 1 1 Eviews 410 R t V t n n R t R 2 t n n AC PAC ( 4 ) R t ADF = = 1 % CV = V t ADF = = 1 % CV = ,,, 3, EGARCH(1,1)2M,, R t = c + t t, t t - 1 N (0, 2 t ), t = t v t, v t t - 1 t - 1 log( 2 t ) = + log( 2 t - 1) + t - 1 t - 1 2, t h R ( t) + t - 1 t - 1 ARMA(4,3)2ARCH(1) V t = c + 4 i = 1 i V t - i 3 + j = 1 j t - j + t, t t - 1 N (0, 2 t ), Tsinghua Tongfang Optical Disc Co, Ltd All rights reserved, v t N (0,1)

4 t = + 2, t h V ( t) Eviews410, 2 2 t EGARCH(1,1)2M,ARMA(4,3)2ARCH(1) Z2 p D2W AIC SC EGARCH2M ARMA(4,3)2ARCH(1) c c , < 0,, ARMA(4,3) ARCH LM ARCH, ARMA (4,3)2ARCH(1) 4 [13, ] x n+1 = a 1 + a 2 x n + a 3 x 2 n + a 4 x n y n + a 5 y n + a 6 y 2 n ƒ A y n+1 = a 7 + a 8 x n + a 9 x 2 n + a 10 x n y n + a 11 y n + a 12 y 2 n ƒ B Z n + 1 = f ( Z n ), Z n = ( x n, y n ) x - y R - V, R - V R - V, R - V R - h V, R - h V h R - V h R - V, h R - V h R - h V 3 3 R - V R - V R - h V h R - V h R - V h R - h V R - V R - V R - h V - h R - V , R ( V, V),, h R V h V,, (1), x n+1 = A + y n+1 A B (1) (2) = B + x n+1 y n Tsinghua Tongfang Optical Disc Co, Ltd All rights reserved (1)

5 7 45 SPSS 1115, (stepwise), 4 R - V R - V 4 SPSS 1115 R t + 1 = V 2 t V t + 1 V t + 1 = R t V t V 2 t R t + 1 R t + 1 = V t V 2 t V t + 1 V t + 1 = 1116V t V 2 t R t + 1 R - V R - V R - h V R t + 1 = V t V t + 1 V t + 1 = 0152 R t V t R t + 1 R t + 1 = R t R 2 t V t + 1 V t + 1 = R t R t V t V t R t + 1 R - h V R ( t + 1) = 0122 R ( t) R ( t) h V ( t) h V ( t) h 2 V ( t) h V ( t + 1) h V ( t + 1) = R 2 ( t) h V ( t) h 2 V ( t) R ( t + 1) h R - V h R - V h R - V h R ( t + 1) = h R ( t) h 2 R ( t) h R ( t) V ( t) V ( t + 1) = 11155V ( t) V 2 ( t) h R ( t + 1) = h R ( t) h 2 R ( t) V ( t) V 2 ( t) V ( t + 1) = V ( t) h R ( t + 1) = h R ( t) h 2 R ( t) h R ( t) V ( t) V ( t) V 2 ( t) V ( t + 1) = h R ( t) h R ( t) V ( t) V ( t) h R - h V h R ( t + 1) = h R ( t) h 2 R ( t) h V ( t + 1) h V ( t + 1) = h R ( t) h 2 R ( t) h V ( t) h 2 V ( t) h R ( t + 1) t2 p , 0101, F2 p 0101,, gr 2 (2) x t +1 y t +1 = ( B + A)Π(1 - ) = ( A + B)Π(1 - ) Z n + 1 = f ( Z n ), Z n = ( x n, y n ), (3) 4 (1), 5 5, ( ),,, [13 (3) (1) f, Lyapunov ] f ( Z) f Jacobi, f ( Z) = J i = f ( Z 0 ) f ( Z 1 ) f ( Z i - 1 ) = [ f i ( Z) ] Z = Z0 ( i) 1 ( i) 2, f Lyapunov a a 3 x + a 4 y a 4 x + a a 6 y a a 9 x + a 10 y a 10 x + a a 12 y (4) 1 k = lim i i, J i 2, ln ( i) k k = 1,2 (5) Lyapunov, T ( x i, y i ),1 i T T Tsinghua Tongfang Optical Disc Co, Ltd All rights reserved (3)

6 ( R - h V, h R - h V ), f T Jacobi f ( Z i ),1 i T J T = f ( Z 1 ) f ( Z 2 ) f ( Z T ), J T 2 1, 2 1 2, f Lyapunov L E 1 ln 1 T MATLAB6 5 Lyapunov, 6 R - V R - V 5 R t + 1 = R t V t V 2 t V t + 1 = R t V t V 2 t R t + 1 = V t V 2 t V t + 1 = V t V 2 t R - V R t + 1 V t + 1 = R t V t = A R t V t R - V R t + 1 = R t R 2 t R t V t V t V t + 1 = R t R 2 t R t V t V t R - h V R ( t + 1) = R ( t) R 2 ( t) R ( t) h V ( t) h V ( t) h 2 V ( t) h V ( t + 1) = R ( t) R 2 ( t) R ( t) h V ( t) h V ( t) h 2 V ( t) h R - V h R - V h R - V h R ( t + 1) = h R ( t) h 2 R ( t) h R ( t) V ( t) V ( t + 1) = 11155V ( t) V 2 ( t) h R ( t + 1) = h R ( t) h 2 R ( t) V ( t) V 2 ( t) V ( t + 1) = V ( t) h R ( t + 1) = h R ( t) h 2 R ( t) h R ( t) V ( t) V ( t) V 2 ( t) V ( t + 1) = h R ( t) h R ( t) V ( t) V ( t) h R - h V h R ( t + 1) = h R h R ( t) h 2 R ( t) h V ( t) h 2 V ( t) h V ( t + 1) = h R ( t) h 2 R ( t) h V ( t) h 2 V ( t) 6 Lyapunov A 2 R - V R - V R - h V h R - V h R - h V Lyapunov A 2 = R - V R - V h R - V h R - V - Lyapunov , R - V, A 2 [7 ] A 2 < 1, A 2 > 1,, Lyapunov, (2002) [7 ] s t +1 v t +1 = s t = A s t, (6) v t v t s, v ( s v ) A 2 = > [7 1,, ] x n + 1, = C + A x n y n + 1 y n, Z n + 1 = g ( Z n ), Z n = ( x n, y n ) g Jacobi A, (4) J i = A i J i 2, ( i) 1 ( i) 2 g Tsinghua Tongfang Optical Disc Co, Ltd All rights reserved

7 Lyapunov k = lim i A i = i ln ( i) k k = 1,2 (6),A = i i = i, (6) Lyapunov , 1 = i, 2-1 L E = 1 i ln ( i ) = ln (019375) = , Lyapunov Lyapunov, [10 ], 5 EGARCH(1,1)2M ARMA(4,3)2ARCH(1), ( R - V), ( h R - V) ( h R - h V ),, , R - V h R - V h R - h V, Lyapunov ,, [ 1 ] Ali F Darrat,Shafiqur Rahman,Maosen Zhong Intraday trading volume and return volatility of the DJ IA stocks A note[j ]Journal of Banking & Finance,2003, [ 2 ] Martin T Bohl,Harald Henke Trading volume and stock market volatility The Polish case[j ] International Reviews of Financial Analysis,2003, [ 3 ] [M],2001 Wang Chunfeng Managemtn of Financial Market Risk[M] Tianjin Tianjin University Press,2001 [ 4 ], [J ],1998,18(6) Zhang Wei, Yan Jinan Empirical detection to the volume2price causality in Shanghai securities exchange[j ] Systems Engineering2 Theory & Practice,1998,18(6) [ 5 ], [J ],2000,3(2) Chen Yiling,Song Fengming An empirical study on the relationship between price changes and trading volume in China stock market [J ]Journal of Management Sciences in China,2000,3(2) [ 6 ], [J ],2003, Hua Renhai,Ding Xiuling An empirical analysis of the dynamic relation between return,trading volume and volatility in China stock market[j ] Finance & Trade Economics,2003, [ 7 ], [J ],2002,20(3) Zhang Yongdong,He Rongtian Empirical analysis of the relation between volatility and trading volume in Shenzhen stock market [J ] Systems Engineering,2002,20(3) [ 8 ], [J ],2003,25(2) Li Shuangcheng,Wang Chunfeng An empirical study of price2volume relation of China s stock market[j ]Journal of Shanxi Finance and Economics University,2003,25(2) Tsinghua Tongfang Optical Disc Co, Ltd All rights reserved

8 [ 9 ], [J ],2003,23 (2) Zhang Yongdong,Li Rongzhou Testing for causality in the intraday volatility2volume relation Shanghai stock market s evidence[j ] Systems Engineering2Theory & Practice,2003,23(2) [10 ],, [J ],2002,22(10) Han Wenxiu, Yu Junli,Wang Qiwen A study on the chaotic characteristics for the capital market[j ] Systems Engineering - & Practice,2002,22(10) [11 ], [J ],2002, Duan Hu, Shen Fei Research on chaotic phenomenon of Shanghai stock market comprising index [J ] Quantitative & Technical Economics,2002, [12 ],, [J ],2004, Wang Weining,Wang Binghong,Shi Xiaoping Chaotic behavior analysis of stock price s volatility[j ] Quantitative & Technical Economics,2004, [13 ] [M],2003 Wang Xingyuan The Chaos of Complex Nonlinar Systems[M] Beijing Publishing House of Electronics Industry,2003 [14 ],, [M],2000 Theory Xu Guozhi,Gu Jifa,Che Hong an Systems Science and Engineering Theories and Applications[ M] Shanghai Shanghai Scientific and Technological Education Publishing House,2000 ( 40 ) [10 ] Harris M, Kriebel C, Raviv A Asymmetric information, incentives, and intrafirm resource allocation[j ] Management Science, 1982 (6) [11 ] Amershi Amin H, Peter Cheng Intrafirm resource allocation the economics of transfer pricing and cost allocations in accounting [J ] Contemporary Accounting Research, 1990, [12 ] Vaysman Igor A model of cost2based transfer pricing[j ] Review of Accounting Studies, 1996, 1(1) [13 ] Yeom Sungsoo, Balachandan K R, Reonen J The role of transfer price for coordination and control whithin a firm[j ] Review of Quantitative Finance and Accounting, 2000, [14 ] Alles M, Datar S Strategic transfer pricing[j ] Management Science, 1998, 44(4) [15 ] Ggx R F Strategic transfer pricing, absorption costing and vertical integration[j ] Management Accounting Research, 2000, 11 (3) [16 ],, [J ], 2003, 23 (7) MU Y P, TANG X W, MA Y K Study on the transfer pricing of intermediate product existing external monopoly markets[j ] Systems Engineering 2 Theory & Practice, 2003, 23(7) [17 ] Bulow J L, Geanakoplos J D, Klemperer P D Multimarket oligopoly strategic substitutes and complements [J ]Journal of Political Economy, 1985, 93(3) Tsinghua Tongfang Optical Disc Co, Ltd All rights reserved

Σχετικά έγγραφα

The Impact of Stopping IPO in Shenzhen A Stock Market on Guiding Pattern of Information in China s Stock Markets

2005 9 9 :100026788 (2005) 0920036206,, (, 230009) :,.,, A ;, A A, A A.,2000 10,.,,,. : ; ; ; : F830191 : A The Impact of Stopping IPO in Shenzhen A Stock Market on Guiding Pattern of Information in China