CAJ | 학술논문

本文主要研究A股市场上股票价格在长期持续上涨的过程中投资者采用持有并卖出策略下收益率与大交易量之间的关系。通过对中国A股市场上证综合指数、大盘蓝筹、中小盘组合的分析，发现不同市值规模的股票在大交易量发生后的30天里出现了显著的负收益率，市值规模越小，这种负收益率现象越明显，而且大交易量发生前期收益率的变化度随着市值规模的减小而降低。
본문주요연구A고시장상고표개격재장기지속상창적과정중투자자채용지유병매출책략하수익솔여대교역량지간적관계。통과대중국A고시장상증종합지수、대반람주、중소반조합적분석，발현불동시치규모적고표재대교역량발생후적30천리출현료현저적부수익솔，시치규모월소，저충부수익솔현상월명현，이차대교역량발생전기수익솔적변화도수착시치규모적감소이강저。
This paper studies the relationship between large stock trading volume and rate of return when investors use the strategy of holding and selling in the process of increasing price in the A stock market for long term. Through the comprehensive analy- sis of composite index, blue-chip market, small and medium-sized plate in Chinese A stock market, we found that, negative rate of return of stock with different market scale emerges after 30 days of large trading volume. The more small the market scale, the more negative the rate of return, and change of the rate of return decrease with the decrease of market scale.