利用中国A股上市公司日度与分钟级的数据,研究了股票间收益率领先滞后关系的影响因素.研究结果表明,规模较大的公司对市场信息反应更快,其股票收益率先于规模较小的公司变动.在时间序列上,相较于日度数据的研究结果,使用分钟级数据的领先滞后效应指标具有更大幅度的衰减,说明我国A股的信息有效性在不断提升.此外,发现交易量和分析师覆盖率也是影响领先滞后关系的重要因素.
Based on the daily and minute data of China's A-share listed companies,this article studies the influencing factors of the lead-lag relationship between stock returns.The results show that larger companies respond more quickly to market information,and their stock returns change earlier than smaller companies.In terms of time series,compared with the results of daily data,the lead-lag effect index of minute level data has a greater attenuation,which indicates that the information effectiveness of a shares in China is constantly improving.In addition,trading volume and analyst coverage are also important factors affecting the lead-lag relationship.
黄雨晴;吴飞
上海交通大学 上海高级金融学院,上海 200030
经济学
领先滞后效应;规模;交易量;分析师覆盖率
lead-lag effect;size;trading volume;analyst coverage
《上海管理科学》 2024 (001)
43-48 / 6
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