中国股市量价关系研究

The Analysis on the Price-Amount Relationship of Chinese Stock Exchanges

研究了上证综指和深证综指从1997年1月至2016年4月之间日度收益率和成交额之间的关系。非对称GARCH-M模型的实证结果表明,成交额对收益率的影响(尤其是短期影响)较为显著;将成交额作为外生变量进行回归之后,收益率序列具有明显的杠杆效应,且对利空消息更为敏感。分位数回归的实证结果表明,上证综指的量价关系主要呈现为正相关关系,但在左尾处呈现为负相关关系;深证综指的实证结果的估计值仅在左尾处较为显著且量价关系呈现负相关关系。综合来看,我国证券市场在不断发展的过程中,沪深两市收益率和成交额的关系已经较为稳定。

The price-amount relationship of main composite indices in Shanghai and Shenzhen Stock Exchange from January,1997 to April,2016 are examined in this paper. The empirical results from asymmetric component GARCH-M model show that the amount has a significant influence on short-term return and that the return series have obvious leverage effect and sensitive to bad news when the amount is given as an external variable. The empirical result from the quantile regression shows that the return of Shanghai composite index usually has a positive relationship with amount except for the left tail in which the index has a negative relationship with amount. The empirical result of quantile regressionalso shows Shenzhen composite index is only significant in the left tail,which shows that the return of it has a negative relationship with the amount. In sum,the price-amount relationship in Shanghai and Shenzhen stock markets is relatively stable after years of development.