分阶段股票成交量与收益率相关性研究——基于中国股市的实证分析-金融学专业论文.docx

II II Abstract This article examines the relation between trading volume and serial correlation of stock returns，and the influence of information asymmetry of stocks on this relationship based on the trading data of 906 sample stocks from Shanghai and Shenzhen Stock Exchange from June 2001 to October 2007, using a dynamic equilibrium model which includes a trading volume factor. In regression analysis, author uses the company size and the volatility of stock price as agent variables of the degree of information asymmetry. The empirical results show that:(l)Stock returns following high-volume days tend to reverse themselves whether in bear market, bull market or the whole study period, especially for big companies;(2)In bull market and the whole study period，the coefficient of daily trading volume and the serial autocorrelation of daily stock returns is positively related with the company size, and is negatively related with the volatility of stock price. It implies that: firms with higher information asymmetry are more apt to exhibit reversals in their return following high volume; (3) Different market environment has different impact on the relationship between trading volume and stock returns. How trading volume influences the autocorrelation of stock returns is mostly depended on the degree of information asymmetry among traders, and is also influenced by the overall market environment at certain extent. Our theoretical analysis attributes this phenomenon to hedging trades and over-speculative trading behavior of China stock market investors. The transparency of China stock market is low; the listed companies do not fully disclose their information. These factors, to a certain extent, make investors to speculate based on non-public information. Therefore, in order to weaken the high speculation atmosphere of China stock market, and to improve the effectiveness of the market, the government should regulate the trade behavior, improve the information di