不同交易量股票价格的信息调整速度差异研究  

Research on Information Adjustment Speed of Stocks Price with Different Level of Trading Volume

作　　者：马超群[1] 张浩[1] 

机构地区：[1]湖南大学工商管理学院,长沙410082

出　　处：《中国管理科学》2005年第5期18-22,共5页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(70371028);国家社会科学基金资助项目(03BJY056)

摘　　要：本文以交易量为划分标准,对不同交易量股票价格对信息的调整速度差异进行实证研究:首先将信息划分为公共信息和公司特有信息,发现高交易量股票对两者的调整速度均大于低交易量股票,但对后者的调整速度差异受公司规模因素影响。随后,本文进一步将公共信息细分为好消息和坏消息,发现与国际成熟市场不同的是,无论对好消息还是坏消息,高交易量股票的调整速度均显著高于低交易量股票。In this article,we make detailed empirical research on the speed of adjustment to different kind of information among stocks with different level of trading volume. Firstly, we classify information into common information and firm - specific information and do empirical test separately. We find that stocks with high trading volume respond more rapidly to both common information and firm - specific information. But as to the latter one, the speed difference of adjustment is influenced by size of listed company. Secondly, we furthermore separate the common information into good news and bad news.We find that to both of them, the adjustment speed of high volume stocks is significantly higher than low volume stocks, which is different from that of the mature stock market abroad.

关 键 词：交易量 公共信息 公司特有信息 好消息 坏消息 

分 类 号：F830[经济管理—金融学]