CAJ | 학술논문

通过超高频数据研究了我国股市个股的异动价格在成交量上的持续性。研究表明，股票异动价格出现之后，不同于西方证券市场的价格完全回复，我国股市价格在一定的事后成交量范围内呈现较弱的回复特征。基于此提出了一种新的研究方法和一种适用于我国股市的投资策略。实证给出了这种策略的单次收益和累积收益，最优参数值和异动价格日内频率分布。
통과초고빈수거연구료아국고시개고적이동개격재성교량상적지속성。연구표명，고표이동개격출현지후，불동우서방증권시장적개격완전회복，아국고시개격재일정적사후성교량범위내정현교약적회복특정。기우차제출료일충신적연구방법화일충괄용우아국고시적투자책략。실증급출료저충책략적단차수익화루적수익，최우삼수치화이동개격일내빈솔분포。
The persistence of extreme stock prices with respect to its volumes of China’s stock market was investigated through ultra‐high frequency data .Studies show that ,China’s stock prices exhibit a weak reversion within a certain range of post volume after extreme prices appear ,which is different from the full reversion of the Western stock markets .A new research method and an investment strategy adapting to China’s stock market were proposed .Empirical research gave the single return and accumulated return of the strategy ,as well as the optimal values of parameters and the inter frequency distributions of extreme prices .