中国股市价格变动与交易量关系的实证研究

An empirical study on the relationship between price changes and trading volume in China stock market

采用计量经济学的方法对中国股市的价格变动与交易量之间的关系进行了多层次的实证研究 ,并用信息经济学的观点对实证结果进行了分析 .揭示了中国股市存在不对称的交易量—价格变动关系 ,指出了一般认为股价变动与交易量正相关的结论是不准确的 ,并分析了预期交易量与非预期交易量与股价变动的关系 ,对股市信息的作用进行了比较深入的研究 .所获得的研究结果对正确认识中国股市的微观结构和进一步规范市场行为有一定的参考价值 .

Various relationships between price changes and trading volume in China stock market were empirically examined. Principles of information economics were applied to analyze the empirical results. The paper showed that the asymmetric volume-price change relationship existed in China stock market, and the linearly positive correlation was inaccurate to describe the relationship between stock price changes and trading volume. The relationship between price volatility and expected trading volume, and that between price volatility and unexpected trading volume were tested. The impacts of information on the stock market were studied. The results obtained gave meaningful insights into the microstructure of China stock market and were helpful to regulate financial market activities.