中国股票市场的简单量价关系模型

通过建立模型分析了我国股票市场上价格变化和交易量之间的关系.在该模型中,有两类投资者,不知情交易者和庄家.不知情交易者的持仓量变化和预期变化都对量价关系产生影响,并且不知情交易者会根据交易推测庄家所掌握的私人信息.文章还实证检验了模型,并指出模型对于交易成本等问题具有一定的解释能力.

Price-volume relationship of Chinese stock market: A simple model

The article constructs a simple model to analyze the price-volume relationship of Chinese stock market. In the model, there are two kinds of investors, many uninformed traders and a manipulator. The inventory and expectation adjustments of the uninformed traders can both influence the price-volume relationship. And the uninformed traders will watch on the trades to infer the private information of the manipulator. To backup the model, empirical work is done thereafter with some significant and interesting results. The article also sheds some light on the analysis of liquidity of individual Chinese stocks. Investments on large stocks will encounter less transaction cost than those on small stocks