股市交易量与收益率的关联分析

以深圳成分指数股1998年1月5日至2004年4月1日交易数据组成分析样本，研究不同交易量的股票组合收益率的变动。通过划定51个观察区间、形成不同的投资组合，检验持有若干时期后各组合的收益率。结果表明，在短时间内(1天、5天)，高成交量伴随着较高的收益率，但是在相对较长的持有期后，低成交量常常伴随着较高的收益率，而且统计结果非常显著。这可能缘于中国股票市场上特殊的投资者结构，体现散户和大户之间的博弈。

An Analysis on Relations of Trading Volume and Returns

This paper investigates the role of trading volume in predicting the directing of future price movement. The (sample) contains all component stocks in the Shenzhen Component Index. It constructs the daily sample by splitting the time interval between 1998/01/05 to 2004/04/01. Each trading interval is split into a reference period and a formation period. By constructing high trading volume portfolio and low trading volume portfolio, and comparing their returns within 1,5,10,15,20,25 and 30 days test periods. The results indicate that in stocks experiencing high volume tend to appreciate in short periods, and that in the long period tend to depreciate. The results may result from the game between small individual (investors and the large investors.)