成交量与价格限制对中国股市影响的实证分析

以我国股票市场的12支个股资料为例,研究了日收益相关性、成交量和价格限制的关系.研究发现,增加成交量会减弱自相关性的假设对近一半的股票成立.我们首先采用一般方法来估计模型,但这种方法用于研究这三者的关系存在一定的偏差,所以接下来又采用了广义矩估计(GMM)来观察估计结果的灵敏性.发现用GMM方法得出的结果表明成交量和价格限制的影响要强于一般方法得出的结果,价格限制影响表现出了对自回归系数更强烈的影响.

Empirical Analysis on the Impact of Trading Volume and Price Limits to Chinese Stock Exchange

The relationship among daily stock return autocorrelation,trading volume,and price limits are investigated in this paper.Twelve China individual stocks are adopted here.As far as we know,many scholars have studied the relationship between daily stock return autocorrelation and trading volume,and this paper adds "price limits",we found that increasing the volume reduces the daily autocorrelation for nearly half of the stocks.This negative volume effect is contrary to the positive price-limit effect,which strengthens the autocorrelation.First of all,we use the conventional method to estimate the model,but this conventional method may be biased in estimating the parameters,and then we adopted generalized method of moment(GMM) to investigate the sensitivity of the estimation results.We found that the volume and the price limits effects obtained by the GMM method are both stronger than those of the conventional method,and the price limits have the stronger impact to auto-regressive coefficients.