摘要
传统回归估计往往错估真实的量价关系,且高估的情况多于低估的情况。本文在区分收益率与收益率绝对量的基础上,采用分位回归模型方法对沪市的量价关系进行深入分析。结果表明,沪市存在显著的量价关系;收益率与交易量存在显著的非对称V型量价关系,且正向量价关系强于负向量价关系;收益率绝对量与交易量存在显著的正向关系,且价格波动越大时量价关系越强。
The traditional OLS method often misestimates the real price-volume relationship, and the overestimation appears more often. After dividing return per se and absolute return, the price-volume relationships of Shanghai Stock Exchange are studied by quantile regression. The empirical results prove that there exist marked price-volume relationships in Shanghai Stock Exchange. The relationship between return per se and volume presents an obvious unsymmetrical Ⅴ-shape, where the positive ones are stronger than the negative ones. The relationship between absolute return and volume is positive, and the price-volume relationship presents stronger when price fluctuates more intensely.
出处
《数量经济技术经济研究》
CSSCI
北大核心
2007年第10期141-150,F0003,共11页
Journal of Quantitative & Technological Economics
关键词
收益率
交易量
量价关系
分位回归
Market Return
Volume
Price-Volume
Quantile Regression
