上海股市中量价关系的实证分析  

Empirical Research on the Relation Between Price Changes and Trading Volume on the Stock Market in ShangHai

作　　者：孙玉宽[1] 胡晓华[1] 

机构地区：[1]昆明理工大学理学院,云南昆明650093

出　　处：《云南民族大学学报（自然科学版）》2006年第4期343-346,共4页Journal of Yunnan Minzu University:Natural Sciences Edition

摘　　要：利用从上证50中挑选出来的26只股票组成分析样本,同时借助软件Eviews4.0和经典的CAPM模型研究了股票日成交量和日收益之间的关系.通过研究得到加入股票的成交量后经典的CAPM模型中股票的β值降低,相应的可决系数有明显的提高,这充分说明在上海股市中股票日成交量对股价的变动具有解释作用.By applying Eviews4.0 and CAPM model to 26 stocks in Shanghai stock market, we examine the statistical property of the relation between the day trading volume and the day return. It is shown that the day turnover in the CAPM model dramatically reduces the β-coefficient and raises R-squared, which means that the trading volume is a good proxy variable of information, which is a source of the return in Shanghai market.

关 键 词：股票日成交量 上海股票市场 CAPM模型 量价关系 

分 类 号：F830.91[经济管理—金融学]