关于中国股市高换手率的探讨

<正>一换手率概述换手率,又叫作"股票交易周转率",是一定时期内股票交易总额除以该时期上市公司平均市值①的结果,或一定时期内股票成交量除以该时期发行总股数②的结果。它用来反映一定时期内股市中股票转手买卖的频率,是反映股市流动性强弱的指标。如果股市换手率长期徘徊于高位,则意味着该股市投机色彩浓重、非理性成分占上风、风险也相对较大。二中国股市的高换手率现状     

期货市场，春天到来

变数丛生的时节，有苍狗，亦有白云，在股市一片萧索之时，中国期货市场却迎来了一场难得的盛宴。根据中国期货业协会的统计，2008年期货市场累计成交量为13．64亿手，累计成交额达71．91万亿元，同比分别增长87．24％和75．52％。     

夏市成交震荡上行，价格指数小幅推升

一、2012年7月份中国轻纺城成交情况概述 据统计月报显示：2012年7月份中国轻纺城纺织品市场成交量为23770万米,环比下跌15．58％,去年同比下跌2．51％;1—7月份累计总成交量242086万米,去年同比增长5．33％。7月份中国轻纺城纺织品市场成交额为285441万元,环比下跌19．48％,去年同比增长7．66％;1—7月份累计总成交额2853298万元,去年同比增长9．05％。     

秋市成交逐日增量，价格指数小幅回升20121001期价格指数简评

一、2012年9月份中国轻纺城成交情况概述 据统计月报显示：2012年9月份中国轻纺城纺织品市场成交量为32637万米,环比上调88．75％,去年同比下跌8．07％;1—9月份累计总成交量292014万米,去年同比增长0．47％。9月份中国轻纺城纺织品市场成交额为405957万元,环比上调83．02％,去年同比上调20．87％;1-9月份累计总成交额3481064万元,去年同比增长9．03％。     

原料震荡面料小增，价格指数微幅下渭——20111205期价格指数简评

一、2011年11月份中国轻纺城成交情况概述 据统计月报显示：2011年11月份中国轻纺城纺织品市场总成交量60700万米,较上月增长45．12％,去年同比上升30．77％;1-11月份累计成交量393168万米,去年同比上调0．02％。2011年11月份中国轻纺城纺织品市场总成交额576186万元,较上月上调17．64％,去年同比上调20．92％;     

股票投资价量分析的误区

股票投资价量分析就是综合利用价格与成交量所蕴含的市场信息来预测股票交易价格的变动趋势,从而指导股票投资决策。在实务中,投资者对于价量分析的理解和应用尚存在不少误区,在一定程度上影响了投资决策的正确     

股票投资价量分析的误区

股票投资价量分析就是综合利用价格与成交量所蕴含的市场信息来预测股票交易价格的变动趋势，从而指导股票投资决策。在实务中，投资者对于价量分析的理解和应用尚存在不少误区，在一定程度上影响了投资决策的正确性。有鉴于此，有必要深入探究成交量以及价格的本质与内涵，最大限度地消除价量分析的思维误区，     

2003年：日本经济的新亮点

2002年,日本股市低沉到"没有买方"的地步,2003年,日本股市的活跃程度超出了所有人的预料:5月,日本股市来了个180度的大反转,成交量连续37个交易日突破10亿股;7月3日的成交量更创下了14年来的新高,东京股市交易系统一度因买卖盘过多而瘫痪.到10月20日,日经平均股价达到11210.94日元,与4月28日的最低点相比,升幅达到47.4%.在任何国家的股市中,主导市场走向的都是大的机构投资者,他们的操作方向代表着对经济走势的判断.     

如何识读股票交易行情表

一、股票价格信息包括:(1)昨日收盘价,即上一个营业日股票最后一笔交易的成交价格;(2)今日开盘价,即当关股票交易开始时第一笔交易的成交价格;(3)今日收盘价,即当天股票交易收市时最后一笔交易的成交价格;(4)最高(低)价,即当天交易过程中所出现的最高(低)价格;(5)升跌率,即当日收盘价与昨日收盘价的变动比率.(6)股价指数,它反映股市各种股票价格变动的综合结果.备股市均有自己的股价指数,具体编制方法为选定某特定、营业日为基数,以各种股票的加权平均价格作为基期价格,然后测定当天各种股票的加权平均价格,再与基期价格进行比较.上海股价指数,A股以1990年12月19日为基期,B股以今年2月21日为基期,综合指数以1990年12月19日为基期.二、成交量信息包括.(1)成交金额,即当日股票交易总价值;(2)成交股数,有时以“股”为单位,有时以“手”为单位,所谓“手”是指在交易所交易时最小的一个交易单位,例如以10股为一手,交易量必须是该交易单位的整数倍数.目前上海、深圳的成交量都是以“股”为单位.     

2003日本经济的新亮点

2002年,日本股市低沉到"没有买方",2003年,日本股市的活跃程度超出了所有人的预料:5月,日本股市来了个180度的大反转,成交量连续37个交易日突破10亿股;7月3日的成交量更创下了14年来的新高,东京股市交易系统一度因买卖盘过多而瘫痪.到10月20日,日经平均股价达到11210.94日元,与4月28日的最低点相比,升幅达到47.4%.在任何国家的股市中:主导市场走向的都是大的机构投资者,他们的操作方向代表着对经济走势的判断.     

股指期货交易量与股指现货波动关系研究——来自香港恒生指数的实证

文章以香港恒生股票指数及其期货为样本,研究了股指波动性与指数期货交易量之间的关系。研究结果表明,它们之间存在单向因果关系,股指现货市场的日间价格波动并没有明显增加股指期货的交易,但股指期货的交易量却对指数现货的波动性产生延迟影响,这从一定程度上反映了香港市场股指期货主要被投资者用于套利而不是风险对冲的工具。     

离岸与在岸股指期货市场的价格联动关系研究——基于国内股指期货市场受限的实证分析

金融资产的价格发现权是各国经济主权的重要组成部分,关系到市场秩序和国民财富的安全。从历史经验看,一旦在岸市场出现发展迟滞或过度管制等问题,竞争性离岸市场就会利用契机快速发展。以2015年国内股指期货受限事件为自然实验,分析新加坡交易所A50与国内沪深300股指期货的价格联动关系,研究表明：国内市场受限后,A50股指期货的持仓量呈明显上升趋势,承载的避险需求增大,其夜盘和盘前涨跌能有效预测沪深300指数开盘走势;在同步交易时段,沪深300股指期货在价格发现中的贡献度为64.4%,仍明显高于A50股指期货;境内熔断触发后,A50股指期货的成交量没有显著减少,表明在岸市场暂停无法显著制约离岸市场的价格发现能力。     

中国股市日内流动性效应分析——基于高频数据的流动性度量、特征及其影响因素

本文归纳了流动性刻画维度和度量指标,选取不同规模和价位股票的高频数据作样本,吸收Amivest流动性比率计算原理,设定价格对交易量变动的敏感性为流动性度量指标,分析股票日内交易特征和流动性影响因素。结果发现：日内模式价格变动呈仰卧“F”形,交易量呈仰卧“E”形,而非传统的“L”或“U”型;日内交易模式、股票规模和股票价位均影响着股票流动性;日内模式异动时间内,股票流动性差;大规模股票流动性强;高价股流动性差。     

沪深300股指期货在现货交易和非交易时段交易特征的比较研究

我国沪深300股指期货交易2010年4月16日正式推出,但沪深300股指期货市场与沪深300现货市场的交易时间存在显著的差异,即相对于股票现货市场,沪深300股指期货市场提前15分钟开盘,延迟15分钟收盘。运用日内分笔数据和分钟数据,对沪深300股指期货不同交易时段的交易特征进行比较。研究表明,不同交易时段知情交易者市场参与度存在明显差异,提前交易时段知情交易的概率最高,现货交易时段次之,延迟交易时段最低;沪深300股指期货在开盘时段的交易提供了较大的价格发现,特别是开盘的第一笔交易包含有大量的私有信息,价格贡献最大;提前交易时段私有信息的价格发现贡献度最高;尽管提前交易时段的交易提供了较大的价格发现,但定价效率较低。     

The impact of option listing on the price volatility and trading volume of underlying OTC stocks

This paper examines the impact of an initial option listing on the price volatility and trading volume of underlying OTC stocks. The sample is divided by market value to determine whether larger firms are impacted differently by option listing than smaller firms. We find relative trading volume increases significantly, with the small and medium market value firms showing the largest gain. However, the tests show no evidence of changes in price volatility following option listing. No significant changes were found in either the firms' betas or variance following option initiation. The results provide further evidence that option listing does not destabilize the market for the underlying stock.     

Trading cost expectations: Evidence from S&P 500 index replacement stock announcements

This paper tests the effect on stock value of an expected change in future trading costs. The capitalized value of a reduction in trading costs is hypothesized to increase the stock value, a trading cost effect. Improved liquidity reduces trading costs. Inclusion as an S&P 500 Index replacement stock is an event hypothesized to increase liquidity. We use 114 observations between January 1, 1983 and October 12, 1989 of stocks added to the Index as replacements for stocks removed. The abnormal return of each stock is regressed against the ratio of the bidask spread to the price of the stock, the change in trading volume of the stock, and the open interest in the Index futures contracts at the close of the month prior to the replacement announcement. We find that the positive abnormal returns for replacement stocks are related to increased daily trading volume after inclusion in the Index. Further, the trading cost effect is proportional to percentage bid-ask spreads prior to inclusion. The trading cost effect increases as trading in derivatives of the Index increases. The volume and stock price changes after replacement are not transitory, indicating an improvement in liquidity. Three alternate hypotheses suggested in prior research to explain the abnormal returns for replacement stocks are tested. Testing each of the three models previously considered: price pressure, inelastic demand curves, and information, we find that none can be accepted with statistical confidence. The abnormal returns of Index replacement stocks are consistent with rational pricing of an anticipated reduction in future transaction costs. This anticipated reduction is capitalized in the value of the stock at the time of the replacement announcement. These results are consistent with a trading cost effect.     

交易量适合作为股价波动信息的代理变量吗?——来自中国沪深股市的证据

本文利用中国沪深股市日交易数据,采用多元GARCH模型从信息传递的角度进行实证研究,结果表明:股价对交易量具有显著的波动溢出效应,但交易量对股价的波动溢出效应不明显。这种波动的单向溢出说明在应对信息的冲击上股价比交易量能更快地做出反应,其后才通过波动溢出在交易量上得到反映,股价波动对成交量波动具有先导作用。因此,从波动冲击传导和信息传递的角度看,单纯地将交易量视为股价变动信息的代理变量还缺乏稳健的统计证据。     

Testing for linear and nonlinear granger causality in the stock price-volume relation: Korean evidence

In this paper, linear and nonlinear Granger causality tests are used to examine the dynamic relationship between daily Korean stock returns and trading volume. We find evidence of significant bidirectional linear and nonlinear causality between these two series. ARCH-ype models are used to examine whether the nonlinear causal relations can be explained by stock returns and volume serving as proxies for information flow in the stochastic process generating volume and stock returns respectively. After controlling for volatility persistent in both series and filtering for linear dependence, we find evidence of nonlinear bidirectional causality between stock returns and volume series. The finding of strong bidirectional stock price-volume causal relationships implies that knowledge of current trading volume improves the ability to forecast stock prices. This evidence is not supportive of the efficient market hypothesis. Another finding is that the nonlinear relationship is sensitive to institutional, organizational, and structural factors. The results of this study should be useful to regulators, practitioners and derivative market participants whose success precariously depends on the ability to forecast stock price movements.     

Index futures trading and stock price volatility: Evidence from Denmark and France

This study uses an EGARCH methodology to investigate the impact of index futures trading on the price volatility of two European stock markets. The results show that index futures trading has changed the distribution of stock returns in Denmark and France, however, it has not increased stock price volatility. There is evidence that futures trading has dampened stock price fluctuations in France. The results further show that stocks in Denmark and France exhibit strong volatility persistence and asymmetry, especially during the post-futures period.     

Institutional investors' attention to environmental information,trading strategies,and market impacts: Evidence from China

Using a large proprietary database of intraday high‐frequency trading, we investigate the trading strategies of institutional investors in dealing with the negative environmental event disclosure of listed companies and their impact on markets, aiming to reveal the mechanism of the lack of “green efficiency” in China's capital market from the perspective of institutional investors. The results show that institutional investors react to negative environmental events prior to the announcements, indicating premature information leakage in the market; in addition, their trading behaviors mitigate the immediate effect of negative environmental event announcements on stock price. After the event is disclosed, institutional investors engage in short‐term selling and long‐term buy and hold. This trading strategy undermines the irrational selling of individual investors in the event of disclosure, short‐term decline in stock price, and long‐term reversal of market overreaction. In a China context, institutional investors generally take environmental information into consideration. However, they fail to recognize the long‐term value effect of negative environmental events and instead cater to trading strategies towards market volatility.