摘要
基于最新逐笔成交数据,在修正累积价格变化计算方法基础上,采用交易额作为交易规模划分标准,从累积价格上升(下降)以及重大事项(资产重组)公告前后多个角度,对交易额如何驱动股票价格进行实证分析。结果表明,除累积价格下降时发现支持隐蔽交易假说的证据外,所有结果直接支持小额交易假说;同时,结果还表明小规模交易在累积价格下降过程中起抑制作用。研究结果对投资者合理选择交易策略、监管者加强证券市场监管具有借鉴意义。
Different from existing studies,based on the latest transaction-by- transaction data and revised calculation method of the cumulative price changes,this paper utilizes volume of transactions as a criteria for transaction size categories,carries out an empirical analysis on how trading volume moves stock price from the perspective of cumulative price increase（ decrease） and the announcement of significant events（ such as asset reorganization）. The study shows that all the results directly support small trade hypothesis except for some evidence to support the stealth trading hypothesis when the cumulative price decreases,and the study also shows that small trade transactions restrain the trend of price falling when the cumulative price decreases. The results have some significance for investors to reasonably choose trading strategies and for regulators to strengthen supervision of stock market.
出处
《金融经济学研究》
CSSCI
北大核心
2014年第3期13-24,共12页
Financial Economics Research
基金
国家自然科学基金项目(71371073)
上海市浦江人才计划项目(13PJC025)
上海市教委科研创新项目(12ZS048)
