量价配合的技术分析交易规则有效性研究

在参考国内外相关研究成果的基础上，采用实证方法研究了我国股票市场量价配合的技术分析交易规则的有效性。实证研究表明，在考虑交易费用和风险补偿以后，该规则的有效性受其采用的时间跨度的影响。除去20%的成交量变化率限幅配合技术指标交易结果为负面以外，存在一个成交量变化率限幅能够使得量价配合的技术交易规则获得优于不使用限幅的交易结果。实证结果支持了量价配合的技术分析交易规则在我国股票市场短期限内的有效性，即该规则能取得统计上显著的异常收益。
关 键 词 量价配合; 技术分析交易规则; 随机指数; 平衡能量指数

Abstract By combining the variation of price and volume we predict the following variation and get abnormal returns. Our empirical study show that, after controlling for the trading costs and risks, the efficiency of technical analysis transferring rule is relevant to the time span it adopts. Except that it result negatively as we apply a 0.2 trade volume, there is always a technical analysis transferring rule with a trade volume limiting can bring us more abnormal returns than without the limiting. In general, our study supports the conclusion that the technical analysis rule with the conformation of volume and price has some efficiency, though further study is always expected.
Key words conformance of volume and price; technical analysis trading rule; stochastics; on-balance volume