历史价量信息在价格发现中更有效吗?——基于中国证券市场的数据分析  

Are History Price and Trading Volume Information more Efficient in Price Discovery? ——A Research of Data Analyses Based on China's Security Market

作　　者：张永冀[1] 汪昌云[2] 华晨[1] 

机构地区：[1]北京理工大学管理与经济学院,北京100871 [2]中国人民大学财政金融学院,北京100872

出　　处：《中国管理科学》2013年第S1期346-354,共9页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(71102110;71172171;71140006)

摘　　要：本文通过对2001年-2011年上证指数数据进行投资策略模拟,研究历史价量关系信息在中国股票市场价格发现中是否比纯粹的历史价格信息更有效。采用向量自回归模型(VAR)和结构向量自回归模型(SVAR)比较代表历史价量信息的EMV指标与单纯价格信息的MACD指标的投资绩效,研究历史价量信息和价格信息的动力学关系。研究结果显示,交易量信息在中国股票市场的价格发现中比历史价格信息更有效。Investment decisions are simulated to compare the performance of the strategies based on MACD and EMV.Then,VAR and SVAR are employed to build dynamic relationship between stock market return,MACD and EMV.MACD is a proxy which only provides price information,but EMV is an overall proxy of price information and trading volume information.Whether overall information is more valid than pure historical price information in the process of stock market price discovery is the focus of this paper.Data used in this paper is Shanghai Composite Index in 2001-2011.The conclusion of this paper shows that strategies based on EMV which is the overall proxy is more valid.

关 键 词：投资理论 技术分析有效性 SVAR VAR MACD EMV 

分 类 号：F830.91[经济管理—金融学]