收益与周转率负相关的不对称性:对上海股市的实证研究

The Asymmetric Negative Return-turnover Relationship:Empirical Evidence from Shanghai Stock Market

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摘要本文以周转率作为股票流动性的度量,对股票收益与周转率之间的相关关系进行了分析。基于上海证券交易所上市的30支个股的检验表明,收益与周转率负相关。进一步地,二者的负相关程度当上月市场为涨势时比上月市场为跌势时更深。这一现象可以用周转率高低不同的股票之间价格变动的"领先—滞后"效应来解释。

作者唐彧曾勇唐小我

机构地区电子科技大学管理学院

出处《管理工程学报》 CSSCI 2004年第4期102-104,共3页 Journal of Industrial Engineering and Engineering Management

基金国家杰出青年科学基金资助项目(79725002)

关键词流动性周转率 “领先-滞后”效应不对称效应

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管理工程学报

2004年第4期

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