| 中国股市上交易活动与股票预期收益关系的实证研究 |
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| 引用本文： | 袁晓玲,陈志平,凌宗平.中国股市上交易活动与股票预期收益关系的实证研究[J].当代经济科学,2004,26(6):98-103. |
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| 作者姓名： | 袁晓玲 陈志平 凌宗平 |
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| 作者单位： | 1. 西安交通大学,经济与金融学院,陕西,西安,710061
2. 西安交通大学理学院,陕西,西安,710049 |
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| 摘 要： | 用交易金额和换手率来度量股票的交易活动,并用它们的标准差、变异系数反映交易活动的变化,本文通过构造投资组合与进行Fama-Macbeth多元回归等方法对中国股市所有A股股票的预期月收益率与交易活动及其波动性之间的关系进行实证研究.研究结果表明,无论控制影响股票收益率的其它因子与否,A股股票交易活动的水平与波动性均与股票的预期收益负相关.
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| 关 键 词： | 交易金额 换手率 预期收益率 投资组合 Fama-Macbeth回归 |
| 文章编号： | 1002-2848(2004)06-0098-06 |
An Empirical Study about the Relationship between Expected Stock Returns and Trading Activity in the Chinese Stock Markets |
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| YUAN Xiaoling,CHEN Zhi-ping,LING Zong-ping.An Empirical Study about the Relationship between Expected Stock Returns and Trading Activity in the Chinese Stock Markets[J].Modern Economic Science,2004,26(6):98-103. |
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| Authors: | YUAN Xiaoling CHEN Zhi-ping LING Zong-ping |
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| Abstract: | By using the trading volume and share turnover to measure the level of trading activity, and the standard deviation, coefficient of variation of the trading volume and share turnover to measure the volatility of trading activity, the relationship between expected monthly returns and the level as well as the volatility of trading activity of A-share stocks in the Chinese stock markets is examined in this paper by forming different portfolios and carrying out the Fama-Macbeth regressions. Our analysis demonstrates that the level and the volatility of A-share stocks' trading activity are negatively correlated with stocks' future returns, whether other factors are controlled or not. |
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| Keywords: | Trading volume Turnover Expected return Portfolio the Fama-Macbeth regression |
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