股票市场量价关系分析——模型与实证

The Stock Market Price Volume Relation Analysis ——Model and Empirical Tests

文章将行为金融学的分析方法引入到股票市场量价关系的研究中,在考虑市场参与者非理性行为———"急于实现盈利"同时"不愿结算浮亏"的前提下,首先通过供求分析,给出股票市场中的需求曲线与供给曲线,然后设定初始均衡,采用经济学中的比较静态分析方法,研究新信息到来时对初始均衡的影响,进而分析新信息的到来对成交量和价格的影响。模型的结论是"成交量和成交价格的变动正相关"、"成交量和成交价格变动的绝对值正相关"。使用计量经济学方法,基于中国A股市场的历史数据进行了实证检验,实证结果支持了模型的结论。通过进一步分析,文章最后还得出"投资散户是股票市场的自动稳定器"的结论。

The paper introduced the analysis methods in Behavioral Finance to the research of volume-price relationship in stock market： under the assumptions of market participants＇ irrationality-＂urge to win＂ and ＂delay to lose＂,it first derived the demand curve and supply curve in the stock market in the demand-supply analysis framework,then defined the initial equilibrium,and applied the comparative statics to study how new information arrival influents the initial equilibrium,in order to analyze its influence on volume and price.The conclusions of the model are ＂positive volume-price change correlation＂ and ＂positive volume-absolute-price change correlation＂.And the paper then did empirical tests based on the historical data in China＇s A stock market,and the empirical conclusion supported the theoretical conclusion.Via further analysis,the paper also showed a conclusion that private investors form the auto-stabilizer in stock market.