Research On Factor Analysis Of Stock Selection Based On Correlation Of Volume And Price

The "volume" and "price" of stock transactions contain a lot of valuable information.Many classic technical indicator stock selection factors are built around the "quantity" or "price" of stocks,such as reversing and changing hands.Rate and so on.Although the previous studies have conducted in-depth studies on the "quantity"and "price" indicators,few studies have involved the stock selection factor of "quantity and price combination." This paper aims to construct factors based on volume and price correlations and study whether they have significant excess returns,so as to provide more more stock selection factors combined with "quantity" and "price" and improve the asset pricing model to provide more Ideas,and provide a certain reference for investors to invest in stocks.This article categorizes stock price movements in the short term as the divergence between volume and price in the same direction as volume and price,and measures the degree of departure or sameness of volume and price movements through the correlation between stock prices and turnover rates.Through backtesting,we found that the price-to-price correlation has a very good stock picking effect at the half-month swap period.In particular,after the Fama-French model-based attribution analysis of the volume-price correlation factor,the factor still has significant Alpha after eliminating the market value effect,reversal effect,liquidity effect,and industry effect,and the stock returns Has a good distinction.By further subdividing the trend of stock price movements,we find that stocks with heavy volume increase perform poorly in subsequent positions,while stocks with heavy volume declines perform better in subsequent periods.Based on the theory of behavioral finance,comprehensive stock prices over-react to company-specific information and volume effects,we can use positive feedback trading and information diffusion models to explain the source of excess returns for volume-price correlation factors:There is a large amount of domestic stock market For positive feedback traders or momentum traders of short-term trades,their investment behaviors usually manifest themselves as chasing and selling and herding behavior.Volume amplification indicates the strength of positive feedback trading and the degree of information diffusion.Large trading volume indicates that The large number of positive feedback transactions and the rapid spread of information in the short term have triggered strong "chasing and selling" and "herd behavior",which have resulted in short-term over-reactions and subsequent reversal of earnings.At the same time,due to the obvious representative deviation of Chinese investors,the reversal effect based on trading volume is more obvious,which in turn makes it possible for the price-to-price correlation factor to generate excess returns.In addition,due to the peculiarities of the Chinese stock market,the short-term reversal of volume effects may be further strengthened by the widespread "banking" manipulation of domestic stock markets.That is to say,"the banker" usually distributes some goods for the purpose of smooth shipment or suppression of shocks.The so-called good,bad news of individual stocks,and the creation of false trading volume to attract followers or technical analysts to join,which led to short-term over-reaction of stock prices.