沪深A股市场个股交易量影响因素分析

发布时间：2018-05-21 17:39

本文选题：交易量 + 影响因素　；参考：《复旦大学》2012年硕士论文

【摘要】：交易活动与市场波动性、收益率一样,是市场的内生特性之一。国内外已有多项研究成果表明,交易量对市场波动率、收益率有显著影响。然而,这些研究成果表明了交易活动对于其他变量的重要影响,但并未对交易活动本身作详细分析。本文首先对现有的各类交易动机理论进行了梳理,对各类理论设计了相应的可检验变量,汇总之后得到14个变量,然后对A股2007-2011五年间的交易额和换手率数据进行了多元回归实证分析。回归中考虑到了Panel数据处理的各种潜在问题,对数据进行了单根平稳性检验和多重共线性检验,并设计了混合回归模型、时间固定效应模型、Fama-MacBeth(1973)回归方法等多种模型,以获得更为可靠的回归结果。实证结果发现,14个代理变量中,有9个显示出非常显著的解释能力：影响个股交易额第一位的因素是其流通市值；个股上期收益率对于下期交易量有显著影响,且正负收益率的影响具有不对称性,验证了ShefrinStatman(1985)提出的“处置效应”；机构投资者持股比例与交易量和换手率显著负相关,表明机构投资者交易频次更低；分析师预测分歧程序与交易量、换手率显著正相关,异质信念交易理论被支持；覆盖某支股票的分析师人数与股票的交易量和换手率没有显著关系,表明这类知情交易在A股市场并不成立。整体上,本文实证结果表明噪声交易理论、异质信念交易理论、基本价值不确定性交易理论对A股市场交易活动都有一定的解释能力。同时本文结果也显示,与海外成熟市场相比,机构投资者占比较低的情况下,发展机构投资者的边际效果更加显著。
[Abstract]:Trading activity and market volatility, rate of return, is one of the endogenous characteristics of the market. Many research results at home and abroad show that trading volume has a significant impact on market volatility and return rate. However, these results show the important influence of trading activity on other variables, but not the detailed analysis of trading activity itself. In this paper, we first sort out all kinds of existing theories of transaction motivation, and design the corresponding verifiable variables for all kinds of theories, and get 14 variables after summing up. Then, the data of A-share turnover and turnover rate in the five-year period 2007-2011 were analyzed empirically by multiple regression. Taking into account the potential problems of Panel data processing, the single root stationary test and multiple collinearity test are carried out, and the mixed regression model, time fixed effect model and Fama-MacBethlene 1973 regression method are designed. In order to obtain more reliable regression results. The empirical results show that 9 out of 14 proxy variables show very significant explanatory power: the first factor affecting the turnover of individual stock is its circulating market value, and the yield of stock in the last period has a significant effect on the trading volume in the next period. The effect of positive and negative returns is asymmetric, which verifies the "disposal effect" proposed by Shefrin Statmang 1985.The proportion of institutional investors holding shares is negatively correlated with trading volume and turnover rate, indicating that institutional investors trade less frequently. Analysts predict that diverging procedures are significantly positively correlated with trading volume, turnover rate is significantly positive, heterogeneity belief trading theory is supported, and the number of analysts covering a particular stock has no significant relationship with trading volume and turnover rate. This type of informed transactions in the A-share market does not stand. On the whole, the empirical results show that the noise trading theory, the heterogeneous belief trading theory and the basic value uncertainty trading theory can explain the trading activities of A share market to a certain extent. At the same time, the results also show that the marginal effect of institutional investors is more significant when the proportion of institutional investors is lower than that of overseas mature markets.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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