统计研究 ›› 2008, Vol. 25 ›› Issue (12): 73-78.

• 论文 • 上一篇    下一篇

分量回归下的中国股市价量关系研究

梁丽珍   

  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2008-12-15 发布日期:2008-12-15

The Return-Volume Relations in Chinese Stock Market by Quantile Regression

Liang Lizhen   

  • Received:1900-01-01 Revised:1900-01-01 Online:2008-12-15 Published:2008-12-15

摘要:

本文用分量回归的方法来分析中国股市收益率和成交量关系。实证结果发现中国股市具有“价量齐扬”和“价跌量缩”的现象,但前者在接近最大涨幅时减弱,而后者在接近最大跌幅时增强。然若采用传统的OLS方法分析,则无法发现这种不对称性。对于此涨跌幅下的价量关系不对称特征,我们认为可能的原因是股市的卖空限制使投资人无法对市场信息(尤其是负面信息)充分反应,因此造成正负收益率与成交量之间的不对称关系。

关键词: 分量回归, 成交量, 价量关系

Abstract: This paper analyzes the relationship between the stock market return and the trade volume by using quantile regression. The result shows that there exist significant positive return-volume relations across quantiles. However, the relations become weaker when it reaches the maximum rise and becomes stronger when maximum drop comes. The asymmetry of return-volume relations can be possibly explained as follows: because of the restrictions on short sales, the investors can not give a full reaction to the market information which results in the asymmetric relation between the positive/negative return and trade volume. 

 

Key words: Quantile regression, Volume, Return-volume relation