Abstract

The volume–volatility relationship usually ignores possible effects of stock shares. This article proposes a two-phase flow model assuming that capital and stock flows determine stock price and return volatility. Computational simulations suggest that monodirectional capital or stock flows and collective flows exert different effects on stock return volatilities. Considering the impact of stock flows, the positive relationship between capital and return volatility is no longer guaranteed. The inflow of capital and the outflow of stock increase stock price similarly; but exhibit completely different effects on stock return volatilities. A persistent stock inflow (outflow) reduces (intensifies) return volatilities, whereas a monodirectional persistent capital outflow has no such effect. When capital and stock flows’ velocities satisfy critical values determined by the initial state of the market, the market enlargement accompanied with increasing stock and capital shows no impact on market stability because of stable return volatilities. Otherwise, stock flows drive return volatilities with stronger effects than capital flows. Further experimental studies that simulate the real stock market through a trading system provide strong evidence supporting the two-phase flow model. Given similar driving forces of capital and stock flows, the interaction of them should be considered in constructing investment strategies and setting policies.

摘要

数量-波动率关系通常忽略了股票的可能影响。本文提出了一个两阶段的流量模型，假设资本和股票流量决定了股票价格和收益波动率。计算模拟表明，单向资本或股票流以及集体流对股票收益率波动具有不同的影响。考虑到库存流动的影响，不再保证资本与收益波动之间的正相关关系。资金的流入和股票的流出也使股价上涨。但对股票回报率波动表现出完全不同的影响。持续的股票流入（流出）减少（加剧）收益波动率，而单向的持续资本流出则没有这种影响。当资本和股票流动的速度满足由市场初始状态确定的临界值时，伴随着股票和资本增加的市场扩大不会由于稳定的回报波动而对市场稳定性产生影响。否则，库存流动会导致收益率波动，其影响要大于资本流动。通过交易系统模拟真实股票市场的进一步实验研究提供了有力的证据支持两相流模型。考虑到类似的资本和股票流动驱动力，在制定投资策略和制定政策时应考虑它们的相互作用。否则，库存流动会导致收益率波动，其影响要大于资本流动。通过交易系统模拟真实股票市场的进一步实验研究提供了有力的证据支持两相流模型。考虑到类似的资本和股票流动驱动力，在制定投资策略和制定政策时应考虑它们的相互作用。否则，库存流动会导致收益率波动，其影响要大于资本流动。通过交易系统模拟真实股票市场的进一步实验研究提供了有力的证据支持两相流模型。考虑到类似的资本和股票流动驱动力，在制定投资策略和制定政策时应考虑它们的相互作用。