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1、JOURNALOFFINANCIALANDQUANTITATIVEANALYSISVOL.22,NO.1,MARCH1987TheRelationbetweenPriceChangesandTradingVolume:ASurveyJonathanM.Karpoff*AbstractThispaperreviewspreviousandcurrentresearchontherelationbetweenpricechangesandtradingvolumeinfinancialmarkets,andmakesfourcontribu
2、tions.First,twoempiri-calrelationsareestablished:volumeispositivelyrelatedtothemagnitudeofthepricechangeand,inequitymarkets,tothepricechangeperse.Second,previoustheoreticalresearchontheprice-volumerelationissummarizedandcritiqued,andmajorinsightsareemphasized.Third,asimp
3、lemodeloftheprice-volumerelationisproposedthatisconsis-tentwithseveralseeminglyunrelatedorcontradictoryobservations.Andfourth,severaldirectionsforfutureresearchareidentified.I.IntroductionThispaperisareviewofempiricalandtheoreticalresearchintotheprice-1volumerelationinfi
4、nancialmarkets.Thereareatleastfourreasonswhytheprice-volumerelationisimportant.First,itprovidesinsightintothestructureoffinancialmarkets.Themodelsdiscussedbelowpredictvariousprice-volumere-lationsthatdependontherateofinformationflowtothemarket,howtheinfor-mationisdissemi
5、nated,theextenttowhichmarketpricesconveytheinforma-tion,thesizeofthemarket,andtheexistenceofshortsalesconstraints.Empiricalrelationsbetweenpricesandvolumecanhelpdiscriminatebetweendifferinghypothesesaboutmarketstructure.Second,theprice-volumerelationisimportantforeventst
6、udiesthatusea2combinationofpriceandvolumedatafromwhichtodrawinferences.Ifprice*TheauthorwouldliketothankLindaBamber,T.WakeEpps,LarryHarris,AlanHess,Rob-ertJennings,AviKamara,GeorgeTauchen,RalphWalkling,andtheJFQAManagingEditorandanonymousrefereesformanyhelpfulcommentsand
7、suggestions.FinancialsupportwasprovidedbytheUniversityofWashington'sCenterfortheStudyofBankingandFinancialMarkets.1Tokeepthistaskmanageable,theprice-volumerelationisnarrowlydefined.Asubstantialamountofempiricalandtheoreticalworkalsorelatestothecostsoftransactinginsecurit
8、iesmarketsandtheprice-settingbehavioroffloorspecialistsanddealers(seeCohen,Maier,Schwartz,andWhitcomb19