中国股票市场价量关系研究——基于沪市日数据的分位回归分析

股市价量关系研究具有重要意义。用传统方法考察变量间的"平均"价量关系,经常是高估或低估真实的价量关系。而采用分位回归方法对沪市价量关系进行研究的结果表明,沪市收益率及收益率绝对量和交易量之间存在显著的价量关系。收益率与交易量存在显著的V型价量关系,且正向价量关系强于负向价量关系。收益率绝对量与交易量存在显著的正向关系,且价格波动越剧烈时价量关系越强。

Price-Volume Relations in China Stock Market: A Quantile Regression Analysis of Daily Data from Shanghai Stock Exchange

Researching on price-volume relations is of great importance.Traditional methods of studying the "average" price-volume relations among variables often over-estimate or under-estimate their true relations.Our empirical results from a quantile regression analysis of data from Shanghai Stock Exchange show that there exist significant price-volume relations between return-rate and volume and between absolute return-rate and volume.The relations between return-rate and volume is of an obvious V-type,and positive relations are stronger than negative ones.Our analysis also affirms that the absolute return-rate is markedly positive related to volume,and that the more prices fluctuate the stronger such relations will be.