| A股市场冲击下的交易量与收益率特征研究 |
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| 引用本文： | 王金鑫,王春峰,房振明.A股市场冲击下的交易量与收益率特征研究[J].西安电子科技大学学报(社会科学版),2011(6):79-84. |
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| 作者姓名： | 王金鑫 王春峰 房振明 |
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| 作者单位： | 1. 天津大学管理与经济学部,天津,300072
2. 渤海证券有限公司,天津,300072 |
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| 摘 要： | 本文基于高频跳跃非参数识别框架,结合我国证券市场投资者情绪及市场环境,对上证A股市场冲击下的交易量与收益率特征进行研究,从更为微观的角度揭示信息快速融入过程中投资者的反应及市场交易状态和影响因素。研究发现,我国A股市场在市场冲击发生时往往伴随着交易量的大幅增加,冲击发生后交易量存在迅速下降的过程;利好、利空的市场冲击对市场交易量、收益率存在非对称影响,整体来说,投资者对利空消息更敏感,但在不同的市场情绪下投资者对市场冲击存在非理性反应,牛市时投资者倾向于对利空消息反应不足,而在熊市时倾向于对利好消息反应不足。
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| 关 键 词： | 市场冲击 跳跃 交易量 收益率 非对称效应 |
Characteristics of Trading Volume and Market Return under Market Impact of Chinese Shanghai A-share Stock Market |
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| WANG JINXIN,WANG CHUNFENG,FANG ZHENMING.Characteristics of Trading Volume and Market Return under Market Impact of Chinese Shanghai A-share Stock Market[J].Journal of Xidian University (Social Sciences Edition),2011(6):79-84. |
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| Authors: | WANG JINXIN WANG CHUNFENG FANG ZHENMING |
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| Institution: | WANG JINXIN1,WANG CHUNFENG1,FANG ZHENMING2(Financial Engineering Research Center,School of Management,Tianjin University,Tianjin,300072,China) |
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| Abstract: | Based on the non-parametric method of jump detection frame,combining the Chinese investor sentiment and market conditions,this paper researches the characteristics of market trading volume and return under the Shanghai A-share market impact,revealing how the information impacts the behavior of stock pricing from a more microcosmic view.The empirical results show that the market impact often occurs with great increase in trading volume,and the trading volume will decrease after the information integrated in the market price.Furthermore,the results also suggest that good news and bad news has asymmetry impact on market trading volume and stock returns,and that traders are more reactive to bad news in bull market and more sensitive to good news in bear market. |
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| Keywords: | Market impact Jump volatility Trading volume Return Asymmetry effect |
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