我国沪深股市量价关系实证分析——基于分位数回归估计

文章应用分位数回归考察我国沪深股市成交量和收益率之间的关系。实证分析的结果表明：沪深两市的成交量与收益率呈正相关关系，成交量的增加往往伴随着股票价格上涨，而成交量的萎缩则伴随着股票价格下跌；然而在左尾处这种关系受到了扭曲，此时成交量与收益率呈负相关，成交量的增加反而引起股票价格下降。进一步的分析发现，我国股市的涨跌停板制度是引起这种现象的主要原因。

A Quantile Regression Analysis of the Return-Volume Relationship of Chinese Stock Exchanges

We examine the relationship between the stock return and trading volume in Shanghai and Shenzhen Stock markets using quantile regression.The empirical results show that the return-volume relations in these two exchanges are quite similar.From the data,there are significant positive return-volume relations across quantiles,showing that a large trading volume is usually accompanied by a positive return and a small trading volume with a negative return.However,such relations change when returns approach the le...