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中文摘要：
在去除交易量时间趋势与自回归的基础上，大量的实证检验发现即期交易量与价格波动之间存在正相关关系．然而交易量序列同时还存在异方差现象．用同时去除时间趋势、自相关与异方差的交易量作为信息流的代表，来研究价格波动与交易之间的关系，结果发现，新的交易量序列能更好地解释收益率的异方差特征，而且市场成熟度不同的国家，交易量序列的这种解释能力也不同．
英文摘要：
A large body of literature finds that the unexpected trading volume, which is obtained by filtering out time trend and autocorrelation, can be used as a proxy of the information flow and can explain the heteroskedasticity of stock return to some degrees. In this paper, we find that the heteroskedasticity exists in the unexpected trading volume, and we further generate a new information proxy by filtering out the heteroskedas- ticity from the unexpected trading volume, we call it ＂persistence-free trading volume＂. Our empirical results indicate that the persistence-free trading volume can explain the heteroskedasticity of the return better than the unexpected trading volume; moreover the explanatory power of the persistence-free trading volume is positively related to market maturity.
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