投资者关注:涨停板还是大交易量——来自中国A股市场的实证研究  

Investors’Attention: Limit-Up or High-Volume:Evidence From the Chinese A-Share Stock Market

作　　者：徐加根[1] 王波[2] 

机构地区：[1]西南财经大学金融学院 [2]西南财经大学经济与管理研究院

出　　处：《投资研究》2013年第4期134-146,共13页Review of Investment Studies

基　　金：西南财经大学"211工程"三期重点项目的资助

摘　　要：本文通过实证分析发现,中国A股市场并不存在"大交易量溢价效应",反而存在"大交易量折价效应"。结合中国A股市场自身特点,我们发现存在"涨停板溢价效应";更进一步的,股票的涨停板和大交易量之间有着紧密的联系:大交易量前的涨停板能传递出更强的正面信号;涨停板之前的大交易量传递出负面信号;涨停板之后的大交易量传递出更强的负面信号。我们认为,投资者关注的不是出现大交易量的股票,而是涨停板的股票。This paper finds that there is no high-volume premium but rather high-volume discount in the Chinese A-Share Stock Market. Moreover, we find that there is limit-up premium. We further find that the limit-up and the high-volume are closely re- lated with each other： the high-volume before the limit-up can deliver a stronger positive signal to the stock market; even the high-volume before the limit-up also conveys a negative signal; the high-volume after the limit-up can convey much stronger negative signal. We believe that it is not the high-volume stocks that attract investors＇ attention but the limit-up stocks.

关 键 词：大交易量折价效应 涨停板溢价效应 投资者关注 投资者情绪 

分 类 号：F224[经济管理—国民经济] F832.51