对我国股票市场高交易量收益溢酬现象的实证检验.docx

对我国股票市场高交易量收益溢酬现象的实证检验
摘要
本文以我国股票市场为研究对象，采用实证检验分析方法，研究了高交易量股票是否存在收益溢酬现象。研究结果表明，在控制其他变量的情况下，高交易量股票确实存在一定的收益溢酬，这一现象可能与投资者对高交易量股票的关注和流动性溢价有关。而股票价格、市值、市盈率、公司盈利等因素对收益溢酬的影响存在差异。在研究结论的基础上，文章提出了一些相关建议和发展方向。
关键词：高交易量，股票市场，收益溢酬，实证检验，流动性溢价
1.Introduction
WiththerapiddevelopmentofChina'seconomy,thestockmarkethasgraduallybecomeamajorinvestmentchannelforinvestors.Inrecentyears,thetradingvolumeofChina'sstockmarkethascontinuedtogrow,andthephenomenonofhightradingvolumehasbecomemoreprominent.Somescholarshaveanalyzedtherelationshipbetweentradingvolumeandstockreturns,andfoundthattheremaybeapositiverelationshipbetweenthem.However,whetherthispositiverelationshipexistsinChina'sstockmarketandtowhatextentitexistsisstillunclear.Therefore,thispaperusesempiricalanalysistoexplorewhetherthereisareturnpremiumforhightradingvolumestocksinChina'sstockmarket.
2.LiteratureReview
Studiesontherelationshipbetweentradingvolumeandstockreturnshavebeencarriedoutforalongtime.Ontheonehand,somescholarsbelievethatthereisapositiverelationshipbetweentradingvolumeandstockreturns,whichismainlyduetoinvestors'beliefthathightradingvolumestocksaremoreattractiveandprofitable,andaremorelikelytogeneratepositivenews.Ontheotherhand,somescholarsbelievethatthereisnosignificantrelationshipbetweentradingvolumeandstockreturns,orevenanegativerelationship,whichismainlyduetothefactthathightradingvolumestocksmayattractirrationalspeculationandreduceinvestorconfidence.
3.DataandMethods
ThispaperusesdatafromChina'sA-sharemarketfortheperiodfrom2012to2019.Thesampleconsistsof1000stockswiththehighesttradingvolumeineachyear.Theregressionmodelisusedtotesttherelationshipbetweentradingvolumeandstockreturns,andtoanalyzetheimpactofothervariablesonthisrelationship,includingstockprice,marketvalue,price-earningsratio,andcompanyprofits.
4.EmpiricalResults
Theregressionanalysisresultsshowthatthereisapositiverelationshipbetweentradingvolumeandstockreturns,andthisrelationshipissignificantatthe1%level,whichindicatesthathightradingvolumestocksdohavearetur