%0 Journal Article
%T Empirical Analysis of the Relation Between Daily Return Rate, Volatility and Trading Volume of Shanghai Stock Market Comprising Index Based on Nonlinar Dynamics<br>上证指数收益率、波动性与成交量动态关系研究——基于日数据的非线性动力学实证分析
%A LUO Deng-yue~
%A <br>罗登跃
%J 系统工程理论与实践
%D 2005
%I 
%X 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)-M(exponential generalized autoregressive conditional heteroscedasticity) model and volatility of trading volume by ARMA(4,3)-ARCH(1) model.we build two-dimensional 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 two-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.
%K return volatility
%K trading volume
%K Lyapunov exponent
%K stepwise regression
%K EGARCH-M model
%K chaos<br>波动性
%K 成交量
%K Lyapunov指数
%K 逐步回归
%K EGARCH-M模型
%K 混沌
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=13898EEF9D5A9517&yid=2DD7160C83D0ACED&vid=C5154311167311FE&iid=DF92D298D3FF1E6E&sid=2001E0D53B7B80EC&eid=B6DA1AC076E37400&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=2&reference_num=14