Empirical Analysis of the Relation Between Daily Return Rate, Volatility and Trading Volume of Shanghai Stock Market Comprising Index Based on Nonlinar Dynamics
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

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.