中国A股市场效率变迁
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摘要
金融学研究资本资源在不同时间上配置的问题,如何衡量资本资源配置的合理程度(即资源配置的效率)一直以来都是金融学上的重点与难题所在。在此问题上,19世纪70年代Fama(1970)提出的有效市场假说(EMH)给人们提供了一个相对一致的研究方向,EMH根据资产价格中融入信息的类型将资本市场效率分为弱势有效、半强势有效以及强势有效三类,从此以后,大部分人在资本市场效率方面的研究便集中于对这三种市场效率的判定之上。根据有效市场理论,如果股票市场是有效的,则当期的股价必然反映了所有与公司基本价值相关的信息,当期的信息如当期股价、交易量等无法作为预期收益的判断指标。然而,正如经济学中完全竞争市场一样,完全有效的资本市场只能作为一个理论上的概念存在,即使像欧美等发达国家的成熟市场也无法达到完全的有效。在实际的资本市场投资操作中,很多基于技术分析的投资者都认为股票市场的交易量含有预期收益的信息,他们总是通过这样那样的观察与统计来发掘股票市场的交易量与股票市场股价变动的方向及变动幅度的规律,并通过对这些规律的把握来战胜市场。
在量价关系的理论分析方面,自Osborne(1959)首次提出了量价关系的研究分析框架以来,国外学术界大量的学者构建了各种理论模型解释了发达国家股票市场的量价关系,包括日内交易量与绝对价格之间的动态关系、日内交易量与资产收益率波动之间的内在逻辑关系以及跨期交易量与资产价格波动之间的逻辑关系。此外,学者也构建了相关理论模型寻找出了影响量价关系显著性的经济变量,包括市场微观结构、股票市场定价效率、股票市场流动性、投资者行为选择等变量。学术界的学者也构建了各种实证研究模型验证了理论模型推导得到的量价关系结论,部分实证研究结果支持了理论模型推导得到的结论。实证研究结果表明,发达国家股票市场存在显著的量价关系。虽然,理论与实证研究结果均表明发达国家股票市场存在显著的动态量价关系。但是,不同国家股票市场量价关系的显著性程度却不相同,决定股票市场量价关系显著性的经济变量也不尽相同。国外学者的量价关系理论与实证研究为分析研究不同国家金融市场结构的变革、不同国家金融市场制度设计等相关领域的研究提供了研究分析框架。
中国A股股票市场作为新兴的资本市场,与发达国家成熟的资本市场相比,在股票市场的市场微观结构、股票市场的定价效率、股票市场的流动性、股票市场上投资者的行为选择等诸多方面存在显著性的差异。那么,中国A股股票市场是否也存在显著的量价规律呢?在真实的资本市场当中,任何显著的规律都会发生自我解构,在中国A股市场上是什么因素决定了量价规律自我解构的过程?有效市场假说否定了任何显著性市场规律的存在,这是否意味着我们可以通过对市场量价关系的观察来刻画市场效率的变迁?
对上述问题的回答,就是本文的研究内容。
根据本文的研究逻辑路线,全文共分五章：第一章,绪论。主要介绍了本文研究背景及研究意义、研究方法、论文结构安排以及本论文研究创新和不足。
第二章,股票市场市场效率与量价关系相关文献述评。
本章首先对资本市场效率的文献进行了梳理,重点对有效市场理论的假设前提、内容、有效市场的分类及国内外有效市场检验的结果进行了介绍和分析。股票市场一个非常重要的经济功能是产生一个可以作为资源配置依据和反映投资决策的价格,如果股价一直在其基本价值(反映了所有与公司价值相关的信息)附近波动,则公司内部的资本资源配置及资本资源在不同公司之间的配置都是有效率的。有效市场理论认为,如果一个市场中的股价一直完全的反映所有可以获得的信息,那么这个市场就被称为是有效市场。有效市场理论并没有给出可以准确量化资本市场效率的指标,它主要根据即期股价所反映信息的种类对资本市场的效率进行了三大类的划分：弱式有效、半强式有效和强式有效。本章对国外以及中国A股票市场效率的检验方法和检验结果进行了总结和分析。
其次,本章梳理了股票市场量价关系相关的理论模型与国内外实证检验结果。通过有效市场理论我们可以知道,若市场弱式有效时,所有的与股票交易相关的历史信息、(包括交易价格、交易量等)都已经反映到了即期的股票价格当中,我们不能依靠这些信息获取超额收益。然而,越来越多的研究发现,前期交易量与即期股票价格变动之间存在着显著的联系,在大量文献验证市场弱式有效的同时发现了显著的量价规律是否存在着矛盾?在回答这个问题之前,文章在这里先对关于交易量和价格之间关系的文献进行梳理。重点对当期研究量价关系的三类主流模型：信息理论模型、交易理念模型及理念分散模型进行了梳理和分析。接下来,文章总结国内外量价关系实证研究的结论。
最后,小结部分分析了有效市场理论的局限性,并结合有效市场理论对量价关系的文献进行了简单的总结与评价。
第三章,中国A股股票市场制度背景。本章分萌生阶段、初步发展阶段、进一步规范发展阶段三个阶段对中国A股市场的发展历程进行了简单的介绍,并重点介绍了1996年及2005年中国A股市场发生的转折性事件。
第四章,模型设定与变量描述。
本文选用CGW(1993)模型作为全文的理论分析框架,主要有以下两个原因：第一,CGW模型的理论假设相对简单,仅仅只放松了有效市场理论假设条件中的投资者一致性约束,相对于其它量价关系模型而言,CGW模型对于我们利用量价规律分析市场效率的变迁结论的可靠性程度更强；第二,CGW模型的结论比较清晰简单,由于文章借助基于指数的量价关系的变化来分析整个A股市场的效率的变迁,简单明确的量价关系更容易达到预期的效果。
本章在实证研究模型的选择上借鉴了CGW(1993)的实证研究分析框架,剔除CGW(1993)模型中的虚拟变量后,建立了滞后一期指数量价关系实证研究模型：滞后二期量价关系实证研究模型：稳健性检验模型：在实证研究分析中,本文选择换手率来度量交易量,换手率为指数成份股成交量与整个市场流通股的比值,同时选择了GARCH模型估计股票收益率的波动率。在样本选择上,选择了上证综合指数和深证综合指数作为研究样本,并按以下时点分别对样本进行分段：1996年12月16日“涨跌停”制度的实施,2005年4月29日股权分置改革正式启动,分三个阶段后分别得到3个子样本。本文选择的原始数据来源于国泰安数据库与WIND数据库,原始数据为上证综合指数和深圳综合指数1990年12月19日一2010年12月31日的日度数据,包括日交易量、日收益率、日收盘价、日成交量、日流通股数量等五个经济变量的日度数据,在实证研究对上述时间序列数据进行了退势处理。
第五章,实证研究结果。
本章实证主要分三个部分展开,由于文章旨在通过对量价关系的分析来考察市场效率的变迁,因此在进行量价关系实证之前,首先采用检验股票价格独立性的方法对中国A股市场分阶段进行了弱式有效性的检验；接下来,在对中国A股市场发展的三个阶段分别进行了量价关系的实证分析；最后,对量价关系进行了稳健性的检验。
通过对上证综合指数和深圳综合指数收益率的一阶与二阶自相关检验我们有如下结论：(1)“涨跌停板”制度推出之前,上海证券交易所市场并没有达到弱式有效,“涨跌停板”制度推出之后至2010年12月31日期间,我们并不能通过上证综合指数收益率的自相关检验来判断上海证券交易所市场的效率变化；(2)1990年12月19日至股权分置改革期间,我们无法通过深圳综合指数收益率的自相关检验来判断深圳证券交易所市场是否达到弱式有效,而股权分置改革推出之后,深圳证券交易所市场依然处于弱式无效率的状态。另外,中国A股市场“一阶”收益自回归与“二阶”收益自回归模型的解释力在任何一个样本区间都比较小,“二阶”自回归系数衰减的幅度与速度都比较快,大量的样本区间“二阶”自回归系数都己接近与零,意味着滞后二期的收益率对当期收益率的解释力很小,正是由于滞后一期与二期的收益率对当期收益率的解释力较小,意味着中国A股股票市场股价尚未体现所有信息,部分信息则需要通过交易量体现出来。
接下来,文章通过实证研究模型检验了上证综合指数与深圳综合指数的量价关系,实证结果表明：(1)在上海证券交易所市场,1990年12月19日-1996年12月15日时间区间内,前期交易量与当期收益率之间存在显著的量价规律,且当期股票收益率与前期交易量之前存在着正向的相关关系,上海证券交易所市场在该时间段内并没有达到弱式有效；在1996年12月16日-2005年4月28日时间段,前期交易量与当期收益率之间存在显著的负向变化规律,这有可能是投资者流动性需求交易导致的结果,同样也可能是市场没有达到弱式有效的体现；在2005年4月29日-2010年12月31日时间段内,前期交易量与当期收益率之间并不存在显著的相关关系,这可能是股权分置改革以及后续市场制度的完善给套利者提供了有效套利的信息环境,使得前期量价规律发生了自我解构,这是市场效率得到改善的变现。(2)在深圳证券交易所市场,在1996年12月16日-2010年12月21日区间内,前期交易量与当期收益率之间存在显著的负向变化规律,这在表明深圳证券交易所市场在该时间区间内没有达到弱式有效的同时,也反映了股权分置改革的推出并没有向上海证券交易所市场一样使得深圳证券交易所市场的效率得到改善。(3)从量价关系回归模型的拟合程度来看,上海证券交易所市场上,股票交易量与收益率之间无论是线性关系还是非线性关系都在逐步淡化,表明了随着市场制度的完善,市场的信息环境得到了逐渐的改善,套利者可以进行有效的套利,使得量价规律逐步实现了自我解构。而对于深圳证券交易所市场,量价回归模型的拟合程度不仅没有下降,反而有一定程度的上升,结合量价规律在深圳证券交易所市场上的显著性,我们可以得知,股权分置改革的推出并没有有效的改善深圳证券交易所市场的效率。
第六章,文章结论与未来研究方向。
未来中国A股市场量价关系的研究方向如下：
本文梳理了有效市场理论及量价关系的理论研究模型与实证检验模型的相关文献,并且在此基础上借鉴CGW(1993)量价关系的分析框架进一步验证了中国A股股票市场指数的量价关系,包括上证综合指数、深圳综合指数的量价关系。但是,本文的研究样本仅仅选择了中国A股上证综合指数与深圳综合指数进行实证分析,今后量价关系的研究还可以从以下几个方面进行：
一、选择个股作为研究样本,进一步验证中国A股股票市场个股的动态量价关系,并且可根据样本的特点,对ST个股、小盘股、大盘股等样本进行比较分析,深入研究信息不对称程度对个股动态量价关系的影响效应。
二、本文在实证过程中选择的分段研究临界点有选择性的偏好,未来的研究中可以同样的方法来度量中国A股市场制度变化给市场效率带来的影响。
三、对于收益波动率的估计本文使用了GARCH模型估计收益率的方差方法估计法,未来的研究中可以选择其他模型估计收益的波动率,例如,QGARCH模型估计收益率波动率,从而更好的描述日度数据的交易信息。
四、CGW(1993)在实证研究模型中引入了虚拟变量,从而验证每周不同交易时间对股票市场量价关系的影响。本文在实证研究过程中尚未构建虚拟变量研究每周周一到周五不同交易日对指数量价关系的影响。未来可对此继续深入研究。
五、对于上海证券交易所市场“涨跌停板”制度推出之后股权分置改革试点之前量价关系显著为负的解释,我们考虑了市场弱式无效以及市场弱式有效但交易均有流动性需求主导两种可能性的答案,在后续的研究中我们可以对投资者按投资性交易以及流动性交易进行划分进一步研究验证。本文主要创新点表现在：
1、有效市场理论认为若股票市场达到弱式有效则前期的交易量与即期的交易价格之间不会存在任何联系,即如果市场存在显著的量价规律则表示市场的弱式无效率。本文通过对市场指数动态量价规律的显著性及其变化的测度来观察中国A股市场效率变迁的进程,在检验市场弱式有效的方法上作出了补充。
2、文章通过对中国A股市场指数动态量价关系中系数变化及显著性变化的研究,指出了中国A股市场中两个关键性的临界点对于A股市场发展的贡献,同时,这也为判断验证市场政策的有效性提供了一个有效的方法。
3、通过对动态量价关系的比较研究,发现了沪、深两市对中国资本市场制度变迁反应的差异性。
Finance studies the issue that how to arrange the capital resources, and we often use the efficiency to measure the capital arrangement. Fama(1970) proposed EMH provide us a reasonable efficiency measure frame. It proves that if the stock price reflects all the information, the stock market will be efficient market. Neither historical price nor historical volume could be used to forecast current price.
But the true world could not be completely efficient, investors usually consider there is information about expected yield in the trading volume, the expected yield can't expressed by the volatility of stock price. So, the investors focus on the direction and volatility of stock price with trading volume, they try to find the rule of volume-return relation and get the excess return accord the rule. In this paper, our aim is to use the EMH and the volume-return rule to depict the path of China A share stock market's development.
Osborne (1959) is the first one who build framework of volume-return, after his study, others build a lot of frameworks to interpret and test volume-return of developed country, and they find that even in Europe and America's developed stock markets, they also appears marked volume-return rules. China's A share stock market comes into existence in the year of1990, comparing to the developed financial market, it still shows many deficiencies. These deficiencies conclude differences on the micro structure of financial market, efficiency of pricing, liquidity of stock market, choice of investors et al. So, we should ask whether there is volume-return relation in China A share? Whether institution breaking, micro structure of financial could affect the volume-return relation dramatically? And how can we use the relation to estimate the efficiency of China's A share stock market? It is our work to answer all the questions.
According to the logic rule, we have six chapters in this paper.
Chapter one introduces the background and the methods of study, structure of this paper, and this paper's innovation and drawbacks.
In chapter two we present the literature on the EMH and volume-return relation. We first introduce the studies of the EMH, include the theorem's content and hypotheses, and the type of efficient market. Then we sum up the existent conclusions of EMH test. After that, we summarize the academic and testing literature on volume-return relations, there we emphase trading theories, information theories, dispersion beliefs theories and testing results following them. At the last part of this chapter we comment on their deficiencies.
In chapter three, we mainly introduce the developing course of China A share markets through important events as symbols, and we pay many attentions to two pivotal events:Price limit system put forward and the reform of the shareholder structure of listed companies. In the following analysis, we will do demonstrations in three different time sections which divided according these two time points.
We put forward three testing hypotheses according to the developing situation of China A share market and the EMH and the theories of volume-return relations in chapter four, based on our judgement, we suppose that:(1) the historical volumes should be positive correlated with today's returns from1990/12/19to1996/12/15,(2) the historical volumes would be negative correlated with today's returns from1996/12/16to2005/04/28, and (3) there would be no relation with volumes and returns from2005/04/29to2010/12/31. We introduce the paper's academic model--CGW(1993) model in succession, include the model's hypotheses, conclusions and how to deduce those conclusions. In the end of this chapter we choose the variables of volumes and returns to be tested and give those statistical pictures.
Chapter five, we test three hypotheses mentioned in chapter four using index volumes and returns data in China A share stock. We do the empirical word following three steps:(1) auto-correlation test of index returns,(2) volumes and returns test of market index, and (3) stability test.
According the auto-correlation test of index returns we could conclude that:(1) before the price limit system putting forward the Shanghai Stock Exchange market dose not reach weak form efficiency, and after that time, until2010/12/31we can not judge how the efficiency of Shanghai Stock Exchange market changes.(2) Before the reform of the shareholder structure of listed companies, we could not judge how is the efficiency of Shenzhen Stock Exchange market, but after that time, we could get that the Shenzhen Stock Exchange market is in the situation of Weak form efficiency.
According the volumes and returns test of market index, we infer that:(1) Before the reform of the shareholder structure of listed companies, Shanghai Stock Exchange market dose not reach weak form efficiency, but after the reform, we find that there is not obvious relation between volumes and returns, this may be caused by the market efficiency advance.(2) From1996/12/15to2010/12/31, historical volumes are negative related with today's returns, it means in this time section Shenzhen Stock Exchange market is not weak-form efficient, and the reform of the shareholder structure of listed companies did not improve the Shenzhen Stock Exchange market's efficiency.
In the last chapter, we conclude the results of this paper, and put forward the intending direction of the study.
The innovation of this paper mainly exhibit as three points:
1. From the EMH we know that, if the stock market is weak-form efficient, then we could not find any relation between historical volumes and today's price. Most of existing studies use the auto-correlation test to judge whether the market is weak-form efficient, but this judgement is only based on the EHM's necessary condition but it is not sufficient. In this paper, we use the test of volume-return relations to check how the market efficiency changes, especially we could judge that whether a policy improves the market efficiency.
2. Use volume-return relations test, we get some results which auto-correlation test could not infer.
3. We do empirical work distinguishing the Shanghai Stock Exchange market and the Shenzhen Stock Exchange market, and get the results that the same policy for stock market may bring on different results to these two markets.
There are three main drawbacks in our paper:
1. We just use historical volumes and today's returns to test how the market efficiency changes, but it is not imply that we could not describe the market efficiency through the relations of today's volumes and today's returns, we use the former only for the reason it shows easy to get the conclusions. Maybe there are other interesting results when use the latter method.
2. We use market index to test the volume-price relation in China A share market, but not consider what will be show when use individual stocks.
3. When we choose the samples, we use1996/12/16when the price limit system putting forward and2005/04/29when the reform of the shareholder structure of listed companies carry into execution, we do the choice just because for subjective judgement, maybe there are another important time points we missed.
在量价关系的理论分析方面,自Osborne(1959)首次提出了量价关系的研究分析框架以来,国外学术界大量的学者构建了各种理论模型解释了发达国家股票市场的量价关系,包括日内交易量与绝对价格之间的动态关系、日内交易量与资产收益率波动之间的内在逻辑关系以及跨期交易量与资产价格波动之间的逻辑关系。此外,学者也构建了相关理论模型寻找出了影响量价关系显著性的经济变量,包括市场微观结构、股票市场定价效率、股票市场流动性、投资者行为选择等变量。学术界的学者也构建了各种实证研究模型验证了理论模型推导得到的量价关系结论,部分实证研究结果支持了理论模型推导得到的结论。实证研究结果表明,发达国家股票市场存在显著的量价关系。虽然,理论与实证研究结果均表明发达国家股票市场存在显著的动态量价关系。但是,不同国家股票市场量价关系的显著性程度却不相同,决定股票市场量价关系显著性的经济变量也不尽相同。国外学者的量价关系理论与实证研究为分析研究不同国家金融市场结构的变革、不同国家金融市场制度设计等相关领域的研究提供了研究分析框架。
中国A股股票市场作为新兴的资本市场,与发达国家成熟的资本市场相比,在股票市场的市场微观结构、股票市场的定价效率、股票市场的流动性、股票市场上投资者的行为选择等诸多方面存在显著性的差异。那么,中国A股股票市场是否也存在显著的量价规律呢?在真实的资本市场当中,任何显著的规律都会发生自我解构,在中国A股市场上是什么因素决定了量价规律自我解构的过程?有效市场假说否定了任何显著性市场规律的存在,这是否意味着我们可以通过对市场量价关系的观察来刻画市场效率的变迁?
对上述问题的回答,就是本文的研究内容。
根据本文的研究逻辑路线,全文共分五章：第一章,绪论。主要介绍了本文研究背景及研究意义、研究方法、论文结构安排以及本论文研究创新和不足。
第二章,股票市场市场效率与量价关系相关文献述评。
本章首先对资本市场效率的文献进行了梳理,重点对有效市场理论的假设前提、内容、有效市场的分类及国内外有效市场检验的结果进行了介绍和分析。股票市场一个非常重要的经济功能是产生一个可以作为资源配置依据和反映投资决策的价格,如果股价一直在其基本价值(反映了所有与公司价值相关的信息)附近波动,则公司内部的资本资源配置及资本资源在不同公司之间的配置都是有效率的。有效市场理论认为,如果一个市场中的股价一直完全的反映所有可以获得的信息,那么这个市场就被称为是有效市场。有效市场理论并没有给出可以准确量化资本市场效率的指标,它主要根据即期股价所反映信息的种类对资本市场的效率进行了三大类的划分：弱式有效、半强式有效和强式有效。本章对国外以及中国A股票市场效率的检验方法和检验结果进行了总结和分析。
其次,本章梳理了股票市场量价关系相关的理论模型与国内外实证检验结果。通过有效市场理论我们可以知道,若市场弱式有效时,所有的与股票交易相关的历史信息、(包括交易价格、交易量等)都已经反映到了即期的股票价格当中,我们不能依靠这些信息获取超额收益。然而,越来越多的研究发现,前期交易量与即期股票价格变动之间存在着显著的联系,在大量文献验证市场弱式有效的同时发现了显著的量价规律是否存在着矛盾?在回答这个问题之前,文章在这里先对关于交易量和价格之间关系的文献进行梳理。重点对当期研究量价关系的三类主流模型：信息理论模型、交易理念模型及理念分散模型进行了梳理和分析。接下来,文章总结国内外量价关系实证研究的结论。
最后,小结部分分析了有效市场理论的局限性,并结合有效市场理论对量价关系的文献进行了简单的总结与评价。
第三章,中国A股股票市场制度背景。本章分萌生阶段、初步发展阶段、进一步规范发展阶段三个阶段对中国A股市场的发展历程进行了简单的介绍,并重点介绍了1996年及2005年中国A股市场发生的转折性事件。
第四章,模型设定与变量描述。
本文选用CGW(1993)模型作为全文的理论分析框架,主要有以下两个原因：第一,CGW模型的理论假设相对简单,仅仅只放松了有效市场理论假设条件中的投资者一致性约束,相对于其它量价关系模型而言,CGW模型对于我们利用量价规律分析市场效率的变迁结论的可靠性程度更强；第二,CGW模型的结论比较清晰简单,由于文章借助基于指数的量价关系的变化来分析整个A股市场的效率的变迁,简单明确的量价关系更容易达到预期的效果。
本章在实证研究模型的选择上借鉴了CGW(1993)的实证研究分析框架,剔除CGW(1993)模型中的虚拟变量后,建立了滞后一期指数量价关系实证研究模型：滞后二期量价关系实证研究模型：稳健性检验模型：在实证研究分析中,本文选择换手率来度量交易量,换手率为指数成份股成交量与整个市场流通股的比值,同时选择了GARCH模型估计股票收益率的波动率。在样本选择上,选择了上证综合指数和深证综合指数作为研究样本,并按以下时点分别对样本进行分段：1996年12月16日“涨跌停”制度的实施,2005年4月29日股权分置改革正式启动,分三个阶段后分别得到3个子样本。本文选择的原始数据来源于国泰安数据库与WIND数据库,原始数据为上证综合指数和深圳综合指数1990年12月19日一2010年12月31日的日度数据,包括日交易量、日收益率、日收盘价、日成交量、日流通股数量等五个经济变量的日度数据,在实证研究对上述时间序列数据进行了退势处理。
第五章,实证研究结果。
本章实证主要分三个部分展开,由于文章旨在通过对量价关系的分析来考察市场效率的变迁,因此在进行量价关系实证之前,首先采用检验股票价格独立性的方法对中国A股市场分阶段进行了弱式有效性的检验；接下来,在对中国A股市场发展的三个阶段分别进行了量价关系的实证分析；最后,对量价关系进行了稳健性的检验。
通过对上证综合指数和深圳综合指数收益率的一阶与二阶自相关检验我们有如下结论：(1)“涨跌停板”制度推出之前,上海证券交易所市场并没有达到弱式有效,“涨跌停板”制度推出之后至2010年12月31日期间,我们并不能通过上证综合指数收益率的自相关检验来判断上海证券交易所市场的效率变化；(2)1990年12月19日至股权分置改革期间,我们无法通过深圳综合指数收益率的自相关检验来判断深圳证券交易所市场是否达到弱式有效,而股权分置改革推出之后,深圳证券交易所市场依然处于弱式无效率的状态。另外,中国A股市场“一阶”收益自回归与“二阶”收益自回归模型的解释力在任何一个样本区间都比较小,“二阶”自回归系数衰减的幅度与速度都比较快,大量的样本区间“二阶”自回归系数都己接近与零,意味着滞后二期的收益率对当期收益率的解释力很小,正是由于滞后一期与二期的收益率对当期收益率的解释力较小,意味着中国A股股票市场股价尚未体现所有信息,部分信息则需要通过交易量体现出来。
接下来,文章通过实证研究模型检验了上证综合指数与深圳综合指数的量价关系,实证结果表明：(1)在上海证券交易所市场,1990年12月19日-1996年12月15日时间区间内,前期交易量与当期收益率之间存在显著的量价规律,且当期股票收益率与前期交易量之前存在着正向的相关关系,上海证券交易所市场在该时间段内并没有达到弱式有效；在1996年12月16日-2005年4月28日时间段,前期交易量与当期收益率之间存在显著的负向变化规律,这有可能是投资者流动性需求交易导致的结果,同样也可能是市场没有达到弱式有效的体现；在2005年4月29日-2010年12月31日时间段内,前期交易量与当期收益率之间并不存在显著的相关关系,这可能是股权分置改革以及后续市场制度的完善给套利者提供了有效套利的信息环境,使得前期量价规律发生了自我解构,这是市场效率得到改善的变现。(2)在深圳证券交易所市场,在1996年12月16日-2010年12月21日区间内,前期交易量与当期收益率之间存在显著的负向变化规律,这在表明深圳证券交易所市场在该时间区间内没有达到弱式有效的同时,也反映了股权分置改革的推出并没有向上海证券交易所市场一样使得深圳证券交易所市场的效率得到改善。(3)从量价关系回归模型的拟合程度来看,上海证券交易所市场上,股票交易量与收益率之间无论是线性关系还是非线性关系都在逐步淡化,表明了随着市场制度的完善,市场的信息环境得到了逐渐的改善,套利者可以进行有效的套利,使得量价规律逐步实现了自我解构。而对于深圳证券交易所市场,量价回归模型的拟合程度不仅没有下降,反而有一定程度的上升,结合量价规律在深圳证券交易所市场上的显著性,我们可以得知,股权分置改革的推出并没有有效的改善深圳证券交易所市场的效率。
第六章,文章结论与未来研究方向。
未来中国A股市场量价关系的研究方向如下：
本文梳理了有效市场理论及量价关系的理论研究模型与实证检验模型的相关文献,并且在此基础上借鉴CGW(1993)量价关系的分析框架进一步验证了中国A股股票市场指数的量价关系,包括上证综合指数、深圳综合指数的量价关系。但是,本文的研究样本仅仅选择了中国A股上证综合指数与深圳综合指数进行实证分析,今后量价关系的研究还可以从以下几个方面进行：
一、选择个股作为研究样本,进一步验证中国A股股票市场个股的动态量价关系,并且可根据样本的特点,对ST个股、小盘股、大盘股等样本进行比较分析,深入研究信息不对称程度对个股动态量价关系的影响效应。
二、本文在实证过程中选择的分段研究临界点有选择性的偏好,未来的研究中可以同样的方法来度量中国A股市场制度变化给市场效率带来的影响。
三、对于收益波动率的估计本文使用了GARCH模型估计收益率的方差方法估计法,未来的研究中可以选择其他模型估计收益的波动率,例如,QGARCH模型估计收益率波动率,从而更好的描述日度数据的交易信息。
四、CGW(1993)在实证研究模型中引入了虚拟变量,从而验证每周不同交易时间对股票市场量价关系的影响。本文在实证研究过程中尚未构建虚拟变量研究每周周一到周五不同交易日对指数量价关系的影响。未来可对此继续深入研究。
五、对于上海证券交易所市场“涨跌停板”制度推出之后股权分置改革试点之前量价关系显著为负的解释,我们考虑了市场弱式无效以及市场弱式有效但交易均有流动性需求主导两种可能性的答案,在后续的研究中我们可以对投资者按投资性交易以及流动性交易进行划分进一步研究验证。本文主要创新点表现在：
1、有效市场理论认为若股票市场达到弱式有效则前期的交易量与即期的交易价格之间不会存在任何联系,即如果市场存在显著的量价规律则表示市场的弱式无效率。本文通过对市场指数动态量价规律的显著性及其变化的测度来观察中国A股市场效率变迁的进程,在检验市场弱式有效的方法上作出了补充。
2、文章通过对中国A股市场指数动态量价关系中系数变化及显著性变化的研究,指出了中国A股市场中两个关键性的临界点对于A股市场发展的贡献,同时,这也为判断验证市场政策的有效性提供了一个有效的方法。
3、通过对动态量价关系的比较研究,发现了沪、深两市对中国资本市场制度变迁反应的差异性。
Finance studies the issue that how to arrange the capital resources, and we often use the efficiency to measure the capital arrangement. Fama(1970) proposed EMH provide us a reasonable efficiency measure frame. It proves that if the stock price reflects all the information, the stock market will be efficient market. Neither historical price nor historical volume could be used to forecast current price.
But the true world could not be completely efficient, investors usually consider there is information about expected yield in the trading volume, the expected yield can't expressed by the volatility of stock price. So, the investors focus on the direction and volatility of stock price with trading volume, they try to find the rule of volume-return relation and get the excess return accord the rule. In this paper, our aim is to use the EMH and the volume-return rule to depict the path of China A share stock market's development.
Osborne (1959) is the first one who build framework of volume-return, after his study, others build a lot of frameworks to interpret and test volume-return of developed country, and they find that even in Europe and America's developed stock markets, they also appears marked volume-return rules. China's A share stock market comes into existence in the year of1990, comparing to the developed financial market, it still shows many deficiencies. These deficiencies conclude differences on the micro structure of financial market, efficiency of pricing, liquidity of stock market, choice of investors et al. So, we should ask whether there is volume-return relation in China A share? Whether institution breaking, micro structure of financial could affect the volume-return relation dramatically? And how can we use the relation to estimate the efficiency of China's A share stock market? It is our work to answer all the questions.
According to the logic rule, we have six chapters in this paper.
Chapter one introduces the background and the methods of study, structure of this paper, and this paper's innovation and drawbacks.
In chapter two we present the literature on the EMH and volume-return relation. We first introduce the studies of the EMH, include the theorem's content and hypotheses, and the type of efficient market. Then we sum up the existent conclusions of EMH test. After that, we summarize the academic and testing literature on volume-return relations, there we emphase trading theories, information theories, dispersion beliefs theories and testing results following them. At the last part of this chapter we comment on their deficiencies.
In chapter three, we mainly introduce the developing course of China A share markets through important events as symbols, and we pay many attentions to two pivotal events:Price limit system put forward and the reform of the shareholder structure of listed companies. In the following analysis, we will do demonstrations in three different time sections which divided according these two time points.
We put forward three testing hypotheses according to the developing situation of China A share market and the EMH and the theories of volume-return relations in chapter four, based on our judgement, we suppose that:(1) the historical volumes should be positive correlated with today's returns from1990/12/19to1996/12/15,(2) the historical volumes would be negative correlated with today's returns from1996/12/16to2005/04/28, and (3) there would be no relation with volumes and returns from2005/04/29to2010/12/31. We introduce the paper's academic model--CGW(1993) model in succession, include the model's hypotheses, conclusions and how to deduce those conclusions. In the end of this chapter we choose the variables of volumes and returns to be tested and give those statistical pictures.
Chapter five, we test three hypotheses mentioned in chapter four using index volumes and returns data in China A share stock. We do the empirical word following three steps:(1) auto-correlation test of index returns,(2) volumes and returns test of market index, and (3) stability test.
According the auto-correlation test of index returns we could conclude that:(1) before the price limit system putting forward the Shanghai Stock Exchange market dose not reach weak form efficiency, and after that time, until2010/12/31we can not judge how the efficiency of Shanghai Stock Exchange market changes.(2) Before the reform of the shareholder structure of listed companies, we could not judge how is the efficiency of Shenzhen Stock Exchange market, but after that time, we could get that the Shenzhen Stock Exchange market is in the situation of Weak form efficiency.
According the volumes and returns test of market index, we infer that:(1) Before the reform of the shareholder structure of listed companies, Shanghai Stock Exchange market dose not reach weak form efficiency, but after the reform, we find that there is not obvious relation between volumes and returns, this may be caused by the market efficiency advance.(2) From1996/12/15to2010/12/31, historical volumes are negative related with today's returns, it means in this time section Shenzhen Stock Exchange market is not weak-form efficient, and the reform of the shareholder structure of listed companies did not improve the Shenzhen Stock Exchange market's efficiency.
In the last chapter, we conclude the results of this paper, and put forward the intending direction of the study.
The innovation of this paper mainly exhibit as three points:
1. From the EMH we know that, if the stock market is weak-form efficient, then we could not find any relation between historical volumes and today's price. Most of existing studies use the auto-correlation test to judge whether the market is weak-form efficient, but this judgement is only based on the EHM's necessary condition but it is not sufficient. In this paper, we use the test of volume-return relations to check how the market efficiency changes, especially we could judge that whether a policy improves the market efficiency.
2. Use volume-return relations test, we get some results which auto-correlation test could not infer.
3. We do empirical work distinguishing the Shanghai Stock Exchange market and the Shenzhen Stock Exchange market, and get the results that the same policy for stock market may bring on different results to these two markets.
There are three main drawbacks in our paper:
1. We just use historical volumes and today's returns to test how the market efficiency changes, but it is not imply that we could not describe the market efficiency through the relations of today's volumes and today's returns, we use the former only for the reason it shows easy to get the conclusions. Maybe there are other interesting results when use the latter method.
2. We use market index to test the volume-price relation in China A share market, but not consider what will be show when use individual stocks.
3. When we choose the samples, we use1996/12/16when the price limit system putting forward and2005/04/29when the reform of the shareholder structure of listed companies carry into execution, we do the choice just because for subjective judgement, maybe there are another important time points we missed.
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