An Empirical Study on Trading Volume and Stock-return Serial Correlation: Evidence from China Stock Market

本文以1996年1月1日至2003年12月31日期间沪、深股市255只股票为样本,研究股票成交量与股票收益率序列相关性的关系,以及股票的信息不对称程度对这种关系的影响。结果表明:第一,无论是牛市、熊市还是平衡市,高成交量交易日的股票收益率在随后交易日中都将表现出“反转”;第二,牛市和熊市中,在高成交量的交易日之后,信息不对称程度较高的股票,其收益率与信息不对称程度较低的股票相比,更倾向于表现出反转。针对这一难以被金融学主流理论所完全解释的实证结果,结合中国实际,笔者认为其根源在于中国投资者的资产配置交易和过度投机交易行为。This article examines the relation between trading volume and serial correlation of stock returns, and the influence of information asymmetry of individual stocks on this relationship based on the trading data of 255 sample stocks from Shanghai and Shenzhen Stock Exchange during January 1996 and December 2003. The empirical results show that (1) stock returns following high - volume days tend to reverse themselves whether in bull, bear or balanced market; (2) In bull and bear market, firms with higher information asymmetry are more apt to exhibit reversals in their returns following high volume than lower information asymmetry firms. Our theoretical analysis attributes this phenomenon to hedging trades and over - speculative trading behavior of China stock market investors