文献类型：期刊文献

中文题名：基于高频数据的中国股市量价关系研究

英文题名：An Empirical Analysis of the Volume-Price Relation Using High-Frequency Data in the Chinese Stock Market

作者：郭梁[1];周炜星[1]

机构：[1]华东理工大学商学院

年份：2010

卷号：7

期号：8

起止页码：1242

中文期刊名：管理学报

外文期刊名：Chinese Journal of Management

收录：CSTPCD;;国家哲学社会科学学术期刊数据库;CSSCI:【CSSCI2010_2011】；

基金：国家自然科学基金资助项目(70501011);新世纪优秀人才支持计划资助项目(NCET-07-0288);霍英东教育基金会高等院校青年教师基金资助项目(101086)

语种：中文

中文关键词：金融物理学;市场微观结构理论;量价关系;标度律;高频数据

外文关键词：econophysics; market microstructure theory; volume-price relation; scaling law; high-frequency data

摘要：通过高频数据研究了中国股市个股的成交量与价格变化之间的关系。实证研究发现,中国股市成交价格波动和成交量之间具有相关关系,量价关系曲线为一非线性凸函数。当归一化成交量大于0.1时,价格变化的绝对值与成交量之间呈正相关性;在归一化成交量小于0.1时,价格变化的绝对值与成交量之间呈反常的负相关性。随着股票市值的增加,相同交易量导致的价格波动减小,不同市值的量价关系曲线可通过市值标度得到一条普适曲线。研究结果表明,低成交量对应的反常负相关量价关系的产生原因在于市场摩擦。
We perform an empirical analysis of the volume-price relation in the Chinese stock market at microscopic level using high-frequency data. We find out that the price variation and trading volume are correlated and the volume-price curve is a nonlinear convex function. When the normalized volume exceeds 0.1,the price variation is positively correlated to the normalized volume. In contrast,when the normalized volume is less than 0.1,the price variation is negatively correlated to the normalized volume. For fixed volume,the price variation decreases with the increase in market capitalization. A universal curve is obtained based on scaling analysis with respect to the capitalization. We argue that the anomalous negative correlation between volume and price variation is due to market friction.