我国股市量价关系的结构突变研究——基于分位数回归模型的分析  

Research on Structural Mutation of Quantity-Price Relationship in China’s Stock Market——Based on the analysis of quantile regression model

作　　者：伍兴国[1] 雷钦礼[2] 

机构地区：[1]东莞职业技术学院 [2]暨南大学经济学院

出　　处：《价格理论与实践》2018年第4期106-109,共4页Price:Theory & Practice

基　　金：东莞职业技术学院科研基金项目资助(批准号:2017a15)

摘　　要：量价关系是股票技术分析理论的基石,也是投资者在实践中判断市场或个股运行趋势的主要手段,本文在分位数回归及其结构突变的理论下,分析了我国沪深两市的成交量与价格之间的关系。实证结果表明：沪深两市的量价关系在相对较高的分位数上,两者表现为＂量价齐扬＂和＂量缩价跌＂的正相关关系;在相对较低的分位数上,两者表现为负相关。由于创业板的开通和中国石油的上市,沪深两市的量价关系都出现了结构性改变,主要集中在成交量相对较高的位置,并且对于深市的影响程度要大于沪市。On the basis of quantile regression and structural break theory, the relationship between the trading volume and price in the two markets of Shanghai and Shenzhen was analyzed. The empirical results show that the relationship between volume and price in the Shanghai and Shenzhen markets is significant on relatively high quantile,both of which are expressed as positive correlations between＂volume rise and price increase＂and＂volume reduction and price decline＂; On relatively low quantiles, the two showed a negative correlation. Due to the opening of the GEM and IPO of China Petroleum, the structural changes in the volume and price relations between the Shanghai and Shenzhen markets have mainly occurred in the relatively high trading volume, and the degree of influence on the Shenzhen market has been greater than that of the Shanghai stock market.

关 键 词：沪深两市 量价关系 结构突变 分位数回归 

分 类 号：F832.51[经济管理—金融学]