中国A股市场大交易量的信号传递效应研究

An Empirical Analysis on Signaling Effect of the High-volume in Chinese A-share Market

通过对中国A股市场不同规模股票进行实证研究,发现不同规模股票在形成大交易量后的检验期中反应不同。在一般情况下,大规模股票不存在显著的"溢价效应"或"折价效应",而小规模股票在出现大交易量的15天后有显著的"折价效应";在牛市中,越大规模的股票"溢价效应"越明显,在熊市中,越小规模的股票"折价效应"越显著。进一步研究还发现,大规模股票在"突然放量"后的表现好于"持续放量"后的表现,而小规模股票则相反;但这种情况在出现大交易量15天后才显著。因此,投资者可以利用本文研究结果构造投资组合。

More and more research indicates that the market is not efficient and trading volume contains some valuable information. This paper conducts an empirical analysis by using the data of the stocks of different scales from the Chinese A- share market,and finds that different scales of stocks make different reactions in the afterward test period after the high- volume trading. Given the ordinary market conditions,it can be seen that there is no obvious'high- volume premium 'or 'high- volume discount effect ' in the big- scale stocks,while the small- scale stocks present a notable'high- volume discount effect'15days after the high- volume trading. In the bull market,the bigger the stock scale is,the more apparent the'high- volume premium'it will be. While in the bear market,the smaller the stock scale is,the more obvious the'high- volume discount effect'it will be. The further research also reveals that the big- scale stocks perform better after the'sudden high- volume'than the'continuous high- volume',while the small- scale stocks see a reverse trend and the trend is not obvious until about 15 days after the high- volume trading. At last,some suggestions related are proposed on stock investment strategies.