沪市A股交易量与收益率关联性及沪港通影响的研究
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摘要
以沪市A股2007年1月1日至2016年10月28日交易数据为样本,采用构建交易量策略投资组合的研究方法,研究交易量与收益率的相关关系以及沪港通对其的影响。首先,以50个交易日为1个交易区间,将整个样本区间划分为46个交易区间,同时将企业按流通市值划分为小企业、中企业、大企业,检验不同企业组内高交易量与低交易量股票组合的收益率变动;其次,将整个样本区间划分为沪港通开通前和开通后两个区间,比较分析沪港通的影响。研究结果表明,沪市A股存在"反转"现象,且企业规模对其有显著影响,而沪港通的开通减弱了这种"反转"现象。
Taking the trading data of Shanghai A-share from Jan 1 st,2007 to Oct 28 th,2016 as samples,by using the method of constructing the portfolio strategy of trading volume,the paper analyzes the relationship between the trading volume and the rate of return and the impact of Shanghai-Hong Kong Stock Connect Program.Firstly,the sample is splited into 46 non-overlapping intervals with 50 trading days each,and the enterprises are divided into small,medium and large ones,and the difference of the returns between high-volume and low-volume stocks in different enterprise groups is tested. Secondly,the whole samples are divided into before and after Shanghai-Hong Kong Stock Connect program opening and the impact of Shanghai-Hong Kong Stock Connect program is analyzed. The result indicates that there exists " reverse" phenomenon in Shanghai A shares,and which is affected by enterprises' size and weakened by Shanghai-Hong Kong Stock Connect program.
Taking the trading data of Shanghai A-share from Jan 1 st,2007 to Oct 28 th,2016 as samples,by using the method of constructing the portfolio strategy of trading volume,the paper analyzes the relationship between the trading volume and the rate of return and the impact of Shanghai-Hong Kong Stock Connect Program.Firstly,the sample is splited into 46 non-overlapping intervals with 50 trading days each,and the enterprises are divided into small,medium and large ones,and the difference of the returns between high-volume and low-volume stocks in different enterprise groups is tested. Secondly,the whole samples are divided into before and after Shanghai-Hong Kong Stock Connect program opening and the impact of Shanghai-Hong Kong Stock Connect program is analyzed. The result indicates that there exists " reverse" phenomenon in Shanghai A shares,and which is affected by enterprises' size and weakened by Shanghai-Hong Kong Stock Connect program.
引文
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[14]陈志娟,郑振龙,马长峰,林苍祥.个人投资者交易行为研究——来自中国台湾股市的证据[J].经济研究,2011,(S1):67-79.
[15]陈志娟,马长峰,林苍祥.机构投资者的交易行为研究:来自中国台湾股市的证据[J].商业经济与管理,2012,(03):52-64.
[16]刘维奇,刘新新.个人和机构投资者情绪与股票收益——基于上证A股市场的研究[J].管理科学学报,2014,(03):70-87.
[17]刘成彦,胡枫,王皓.QFII也存羊群行为吗?[J].金融研究,2007,(10):111-122.
[18]滕莉莉,黄春龙.我国QFII持股特征研究——基于选股偏好与持股期限的实证分析[J].投资研究,2012,(10):84-97.
[2]Miller,Edward M.Risk,uncertainty,and divergence of opinion[J].Journal of Finance,1977,32(04):1151-1168.
[3]Morse D.Asymmetrical information in securities markets and trading volume[J].Journal of Financial and Quantitative Analysis,1980,15(05):1129-1148.
[4]Campbell J Y,Grossman S J,Wang J.Trading volume and serial correlation in stock returns[J].The Quarterly Journal of Economics,1993,108(04):905-939.
[5]Baker M,Stein J C.Market liquidity as a sentiment indicator[J].Journal of Financial Markets,2004,7(03):271-299.
[6]Kaniel R,Ozoguz A,Starks L.The high volume return premium:Cross-country evidence[J].Journal of Financial Economics,2012,103(02):255-279.
[7]易文德.基于VAR-Copula模型的股价、交易量的相依结构[J].系统工程理论与实践,2011,(08):1470-1480.
[8]何诚颖,陈锐,徐向阳,郭丹丹.股票期望收益率模型有样本外预测能力吗?——基于中国A股市场的实证研究[J].经济与管理评论,2014,(04):74-82.
[9]董秀良,吴仁水.交易量适合作为股价波动信息的代理变量吗?——来自中国沪深股市的证据[J].数量经济技术经济研究,2008,(01):97-108.
[10]王艺霖,周渊.交易量与股价波动性动态关系的研究[J].复旦学报(自然科学版),2012,(04):472-479.
[11]郦金梁,雷曜,李树憬.市场深度、流动性和波动率——沪深300股票指数期货启动对现货市场的影响[J].金融研究,2012,(06):124-138.
[12]郑晓亚,闫慧,刘飞.融资融券业务与我国股票市场长期波动性[J].经济与管理评论,2015,(02):87-93.
[13]Gervais S,Kaniel R,Mingelgrin D H.The high-volume return premium[J].Journal of Finance,2001,56(03):877-918.
[14]陈志娟,郑振龙,马长峰,林苍祥.个人投资者交易行为研究——来自中国台湾股市的证据[J].经济研究,2011,(S1):67-79.
[15]陈志娟,马长峰,林苍祥.机构投资者的交易行为研究:来自中国台湾股市的证据[J].商业经济与管理,2012,(03):52-64.
[16]刘维奇,刘新新.个人和机构投资者情绪与股票收益——基于上证A股市场的研究[J].管理科学学报,2014,(03):70-87.
[17]刘成彦,胡枫,王皓.QFII也存羊群行为吗?[J].金融研究,2007,(10):111-122.
[18]滕莉莉,黄春龙.我国QFII持股特征研究——基于选股偏好与持股期限的实证分析[J].投资研究,2012,(10):84-97.