文献类型：期刊文献

中文题名：中国股票市场交易额如何驱动股票价格?

英文题名：How does Trading Volume Move Stock Prices in Chinese Stock Market?

作者：彭志胜[1,2];宋福铁[1]

机构：[1]华东理工大学商学院,上海200237;[2]安徽建筑大学管理学院,安徽合肥230601

年份：2014

卷号：29

期号：3

起止页码：13

中文期刊名：金融经济学研究

外文期刊名：Financial Economics Research

收录：CSTPCD;;国家哲学社会科学学术期刊数据库;北大核心:【北大核心2011】；CSSCI:【CSSCI2014_2016】；

基金：国家自然科学基金项目(71371073);上海市浦江人才计划项目(13PJC025);上海市教委科研创新项目(12ZS048)

语种：中文

中文关键词：股票市场;交易规模;价格变化

外文关键词：stock market;trade size;price changes

摘要：基于最新逐笔成交数据,在修正累积价格变化计算方法基础上,采用交易额作为交易规模划分标准,从累积价格上升(下降)以及重大事项(资产重组)公告前后多个角度,对交易额如何驱动股票价格进行实证分析。结果表明,除累积价格下降时发现支持隐蔽交易假说的证据外,所有结果直接支持小额交易假说;同时,结果还表明小规模交易在累积价格下降过程中起抑制作用。研究结果对投资者合理选择交易策略、监管者加强证券市场监管具有借鉴意义。
Different from existing studies,based on the latest transaction-by- transaction data and revised calculation method of the cumulative price changes,this paper utilizes volume of transactions as a criteria for transaction size categories,carries out an empirical analysis on how trading volume moves stock price from the perspective of cumulative price increase（ decrease） and the announcement of significant events（ such as asset reorganization）. The study shows that all the results directly support small trade hypothesis except for some evidence to support the stealth trading hypothesis when the cumulative price decreases,and the study also shows that small trade transactions restrain the trend of price falling when the cumulative price decreases. The results have some significance for investors to reasonably choose trading strategies and for regulators to strengthen supervision of stock market.