摘要
交易量是市场投资者交易的直接产物 ,包含了市场和投资者投资行为的众多特性 ,因此逐渐成为金融实务界和理论界关注的热点 .本文从经典的基金分离假设出发 ,讨论了交易量的理论模型 .通过主成分分析的方法 ,检验了中国股市的交易量模型 。
Volume is generated directly from trading activities. More and more academic studies in finance begin to focus on it to explore various characters of investors' behaviors and to model financial markets. This paper shows that K+1 fund separation theorem implies an approximate linear K factor structure for trading volume. The linear K factor model is empirically tested using principal components analysis on turnover data of all securities in Shanghai and Shenzhen stock market over a 168 week sample period (from Jan. 3rd, 1995 to May 15, 1998). Further analyses on first two principal components were conducted to investigate implications of trading volume in Chinese stock market.
出处
《管理科学学报》
CSSCI
2000年第1期39-44,共6页
Journal of Management Sciences in China
基金
国家自然科学基金"九五"重大项目资助项目! 79790 13 0
关键词
基金分离
交易量
换手率
股市
中国
fund separation
principal components analysis
volume
turnover
