中国股票市场的低开高走模式研究Research on the Pattern of Opening Low and Going High in Chinese Stock Market
王婉菁,张兵,朱红兵
摘要(Abstract)：
本文较早聚焦并证实了中国A股市场存在显著的“低开高走”现象，与国际主要股票市场相比，这一现象在中国股市尤为突出，并显著影响着资产的预期收益。本文从交易制度和投资者行为视角对此进行了解释，并运用2006—2019年中国A股市场上市公司数据，经分组检验和Fama-Macbeth回归等方法分析，研究发现：(1)“低开高走”是我国股市最为常见的价格行为，与股票的预期收益呈显著负相关；(2)T+1交易制度是“低开高走”现象长期存在的基础，“低开高走”对预期收益的负向影响无法完全由反转效应解释；(3)“低开高走”主要由异质投资者的交易行为所驱动，投资者情绪的作用不甚明显。本研究拓展了资产定价的研究视角，并为完善中国股市交易制度和保护投资者利益提供了参考。
关键词(KeyWords)： 低开高走;资产定价;T+1交易制度
基金项目(Foundation):
作者(Author): 王婉菁,张兵,朱红兵
DOI: 10.16513/j.cnki.cje.20220127.001
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- (1)数据来自本文的计算。本文以2006年后的上证综指日数据为基础,当指数t日开盘价格低(高)于t-1日收盘价时视为“低(高)开”,t日收盘价高(低)于t日开盘价时,视为“高(低)走”,本文统计了“低开”和“高走”现象在“低开、高走、高开、低走”四类现象中的占比;而“低开高走”的占比数据来自本文表5的结果。
- (2)数据来自本文的计算。本文以2006年后的上证综指日数据为基础,假设不考虑交易费用下投资重复进行t日收盘时刻买入并在t+1日开盘时刻卖出,计算年均的累积收益率;出于稳健性考虑,本文以2006年后的个股日度数据为基础,以相同的方式计算所有样本每年平均累积收率的年均值为-29.96%,这一结果支持前者的计算结果。
- (3)感谢审稿专家的意见和提醒,本文同时考虑了流动性的影响,并参考曲荣华和刘扬(2020)根据非流动性指标分组,进行了子样本分组检验。结果表明,排除流动性影响后,“低开”和“高走”行为仍旧存在显著的正相关关系。出于篇幅要求,此处省略汇报相关结果。
- (4)尹力博和马枭(2020)与本文皆参考了Akbas et al.(2019)的研究,而Akbas et al.(2019)是较早以隔夜和日内收益率为基准构造度量股价行为指标的文献,因此在“低开高走”指标构建上具有重要的参考价值。
- (5)虽然表10的Panel A、Panel B的列(3)异常低开高走频率(ab_PR1)系数在10%水平上显著,但统计显著性仍较弱,不改变原有结论。
- (6)若非如此,即如若大(机构)投资者的资金流入与“低开高走”的正相关关系反映的是与股价“低开”(开盘价走低)频率的关系,则违背了资金流入、股价上涨的常识。