中国牛市真的是“水牛”吗？——不确定性视角下股市价量关系的实证研究

doi:10.16381/j.cnki.issn1003-207x.2017.09.009

中国管理科学 ›› 2017, Vol. 25 ›› Issue (9): 71-80.doi: 10.16381/j.cnki.issn1003-207x.2017.09.009

中国牛市真的是“水牛”吗？——不确定性视角下股市价量关系的实证研究

石建勋^1,2, 王盼盼^1,2, 何宗武³

1. 同济大学经济与管理学院, 上海 200092;
2. 同济大学财经研究所, 上海 200092;
3. 台湾世新大学财务金融学系, 台湾台北 11645

收稿日期:2016-08-25 修回日期:2017-03-22 出版日期:2017-09-20 发布日期:2017-11-24
作者简介:王盼盼(1993-),男(汉族),安徽舒城人,同济大学经济与管理学院博士生,同济大学财经研究所助理研究员,研究方向:金融市场理论与实践、金融计量,E-mail:panpan@tongji.edu.cn.
基金资助:
国家社科基金决策咨询点研究项目（13JCD009）；国家社科基金一般项目（10BGJ019）；上海高校智库内涵建设计划项目

The Price-Volume Relation of the Shanghai Stock Index Under the Perspective of Uncertainty

SHI Jian-xun^1,2, WANG Pan-pan^1,2, He Zong-wu³

1. School of Economics and Management, Tongji University, Shanghai 200092, China;
2. Institute of Finance and Economics, Tongji University, Shanghai 200092, China;
3. Department of Finance, Shih Hsin University, Taipei 11645, China

Received:2016-08-25 Revised:2017-03-22 Online:2017-09-20 Published:2017-11-24

摘要/Abstract

摘要： 由于我国股市时常发生大幅波动，结构变动和市场波动性因素可能会对价量关系产生重要影响。因为价量同期内生性问题，以往的实证研究通常在VAR框架下进行，但利用传统线性VAR方法无法识别价量动态关系的非对称性变动特征。为此，本文通过采用门限VAR模型，在价量关系的VAR框架中嵌入结构变化和市场波动的门限变量，研究发现：第一，在2007-2008和2014-2015年股市大幅波动期间价量关系存在显著的时间断点效应，且后者结构变化更剧烈；第二，市场不确定性（波动率）显著影响价量关系，随着波动率增加，交易量对价格影响逐渐消失，而价格对交易量的影响始终高度显著，但经济显著性也逐渐下降；最后，中国股市中价格显著引导交易量的变动，是价格拉动型而非资金推动型市场，因此"水牛"的说法并不准确。

关键词: 股市价量动力学, 结构变动, 市场不确定性, 门限VAR模型

Abstract: In literature, the dynamic price-volume relation is examined by Vector Autoregression (VAR thereafter) model. In this paper, the conventional VAR approach is extended to account for the impacts of structural changes and volatility levels, which are common to China.Due to dramatic responses of China's stock market in recent years, especially two periods of considerable volatility in the years of 2007-2008 and 2014-2015, it is reasonable to conjecture that the structural changes and volatility levels could have substantial influence on the price-volume relation of Chinese stock market. The price-volume relation of the Shanghai stock market is examined with daily data from the year of 2003 to 2016, and contribution is made to the literature by estimating the price-volume relation in a VAR framework with structural breaks and volatility thresholds. As a result, more evidence and robust inferences is obtained:First, the evidence indicates that there exist significant time breaking effects. Second, the high-low volatility effects are substantially. Finally, a linear causal relation is identified from price to volume, which clearly rejects the public views.

Key words: price-volume dynamics, structure change, market uncertainty, threshold VAR

中图分类号:

F830.9

石建勋, 王盼盼, 何宗武. 中国牛市真的是“水牛”吗？——不确定性视角下股市价量关系的实证研究[J]. 中国管理科学, 2017, 25(9): 71-80.

SHI Jian-xun, WANG Pan-pan, He Zong-wu. The Price-Volume Relation of the Shanghai Stock Index Under the Perspective of Uncertainty[J]. Chinese Journal of Management Science, 2017, 25(9): 71-80.

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中国牛市真的是“水牛”吗？——不确定性视角下股市价量关系的实证研究

The Price-Volume Relation of the Shanghai Stock Index Under the Perspective of Uncertainty

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