摘要
依据中国行业股市收益和交易量时间序列数据,引入政策效应变量,运用分位数回归理论时间序列模型,考量股市收益与交易量相依性关系。结果显示,中国行业股市收益与交易量之间相关关系存在差异,且在高分位点呈现正相关,在低分位点呈现负相关。结果表明,中国股市投资者存在显著的羊群效应,政策效应对不同行业收益和交易量相依性的影响存在异质性。鉴此,投资者宜减少部分行业股票配置,政府应建立高效的风险管理机制,尽量减缓股市波动。
This,paper adopts Quantile regression to analyze the dependence between trading volume and industry stock returns in the Chinese industry stock markets in the period from January 1996 to June 2016. We also investigate the effects of exogenous government policies on the relation between trading volume and stock return. OLS results indicate no significant dependence between volume and returns. However, our empirical results of the Quantile regression method reveals the magnitude of nonlinear effects is heterogeneous across industries. Specifically, its positive for high return quantiles and negative for low ones. In an economic viewpoint, this paper contributes to a better understanding of activity of different industries market participants during extreme events and government policies.
作者
朱慧明
蒋超
刘利枚
ZHU Huiming JIANG Chao LIU Limei(Business School, Hunan University, Changsha , Hunan 410082,China)
出处
《财经理论与实践》
CSSCI
北大核心
2017年第4期39-44,共6页
The Theory and Practice of Finance and Economics
基金
国家自然科学基金创新群体项目(71521061)
国家自然科学基金重点项目(71431008)
国家自然科学基金面上项目(71671062)
关键词
相依性
股市收益
交易量
极端分位数
dependence
stock return
trading volume
extreme quantile regression