渐进信息流与换手率的周末效应

发布时间：2018-01-04 20:27

本文关键词：渐进信息流与换手率的周末效应　出处：《管理世界》2010年08期 　论文类型：期刊论文

【摘要】：本文考察了信息对证券市场换手率水平的影响。文章发现虽然周一隔夜信息总量要超过周内其他交易日,但是,由于投资者对周一信息反应时间较长,导致大家在周一的分歧程度降低,进而导致周一换手率水平发生显著下降。同时,文章还发现与大公司和机构投资者相比,小公司以及个体投资者的换手率水平在周一下降程度更为显著;而且,随着交易的进行,周一剩余时间换手率水平与其他交易日之间的差异也在逐渐缩小。以上结论从实证的角度证实了Hong和Stein(1999,2007)的渐进信息流理论,即信息以及人们对信息的反应时间是影响市场分歧程度的重要原因。同时,信息量在周一的变化直接导致了周一交易量的外生下降。由此,文章进一步证实交易量的外生下降会导致收益率水平的降低,即证券市场量价之间存在一定的因果关系。
[Abstract]:This paper examines the impact of information exchange rate on the stock market. The paper found that although the overnight Monday total information week than other trading days, but on Monday as investors information a longer reaction time, led everyone in the degree of divergence Monday decreased, which led to a significant decline in the level of the exchange rate on Monday. At the same time, the article also found compared to large companies and small companies and institutional investors, individual investors in the exchange rate level on Monday decreased more significantly; moreover, with the transaction, the difference between the exchange rate level and Monday rest other trading days is gradually reduced. The above results confirmed that the Hong and Stein from an empirical point of view (19992007). Incremental information flow theory, the reaction time information and the people of information is an important reason to influence the market divergence degree. At the same time, the amount of information in Monday's change It directly led to an exogenous decrease in the volume of trading on Monday. Therefore, the article further confirms that the exogenous decrease of trading volume will lead to a decrease in the yield level, that is, there is a causal relationship between the volume and price of the stock market.

【作者单位】：中国人民大学财政金融学院;北京大学光华管理学院金融系;
【基金】：教育部人文社会科学重点研究基地项目基金资助(项目批准号2009JJD790049) 中国人民大学科研基金的资助
【分类号】：F832.51
【正文快照】： 一、引言交易量是证券投资过程中备受关注的一个指标。我们经常可以发现，股票价格的上涨通常伴随着交易量的上升;股票价格的下跌又往往伴随着交易量的下降。可以说，交易量与证券回报率之间的正相关关系已经成为一个被金融业界广泛接受的观点。然而，对于量价之间的因果性，

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