我国股票市场量价关系的实证研究——基于牛市、熊市和盘整市不同情况下的比较分析

An Empirical Analysis of the stock Price-Volume Relationship——Comparative Analysis Among Bull Market、Bear Market and Concussive Market of Shanghai Stock Market

量价关系是研究股票市场的基础,又与技术分析的有效性密切相关。本文基于量价关系在牛市、熊市和盘整市三种不同市场情形下可能有所不同的考虑,以沪市上证指数和总成交量为研究对象,借助协整检验、向量误差修正模型以及产出冲击反应等方法分别对三类市场情形进行实证研究。研究结果显示,价量之间的确存在长期协整关系。沪市指数的变化总是可以解释随后量的变化,反过来则不成立。研究发现一些基于成交量的技术指标在熊市或盘整市情形中失效,而在牛市中尚具有一定效用。实证结果还旁证了中短期内我国股票市场是部分有效的,但从长期来看却是有效市场。

The relationship of price and volume is the basis of stock market and technical analysis. The relationship may be not the same under the three situations, so we make a comparison. The paper use the data of price index and volume of Shanghai stock market, use Cointegration analysis, Vector Error Correction Model and Impulse Response Function approach. The conclusions are：there exists a long term equilibrium between price and volume;the change of price index can explain change of volume, but it is not correct contrarily; some technical analysis founded on volume lose efficacy ,just effective in ＂bull market＂. At the same time, we found Shanghai stock market is partial effective in short-term, but completely effective in longterm,