交易量之長期持續性

Abstract

本文主要研究美國個別公司股票交易量的長期發展。其中最重要發現即是美國個別股票交易量具有長期持續性，而此重要發現也提供全新觀點在於個別公司股票長期交易活動之研究。具體言之，本文發現高(低)交易量股票在未來20 年傾向維持是高(低)交易量股票，而此長期持續性的現象，一方面隱含了股票初始交易量對於未來交易量的重要影響；另一方面也引伸出個別股票間交易量的差異是由一個或多個觀察不到且不隨著時間改變的公司特有因子所支承。再者，以1975 年至2007 年的初次公開上市公司為研究樣本，本文發現個別公司股票傾向長久性的維持在掛牌上市之際的股票交易周轉率水準，此結果隱含了個別公司股票交易活動的差異性在公司股票發行之前或是發行之際便已決定。最後，不論是對於不同的交易量衡量指標；考量市場交易量之影響；僅使用資歷超過20 年的公司為研究樣本；或是將研究期間追朔至1946 年間，本文整體研究結果皆深具穩健性。

This paper studies long-run persistence of trading volume by investigating the evolution of share turnover in the cross-section of stocks listed in NYSE/AMEX and NASDAQ. Using quartiles based on turnover in portfolio formation year, this paper documents new evidence that a self-perpetuating manner exists in trading volume and provides new insight into behavior of cross-sectional trading activities in a long horizon. Particularly, we find that, even being similar along many characteristics such as visibility, the mass of informed traders, systematic risk, and shares held by institutional investors, stocks with relatively heavy (light) initial turnover tend to maintain relatively heavy (light) turnover for over 20 years. This permanent pattern implies that initial turnover bears an important relation with future turnover and that cross-sectional variation in trading volume is driven by unobserved and time-invariant security-specific factors. Additionally, in a sample of IPO stocks during 1975-2007, we find that stocks tend to remain their IPO rankings of turnover over quite some time and hence imply that the differences in stock’s trading activities are somewhat determined prior to or at the time that their issuances. Our overall findings are robust to sample design and to sample period, either employing alternative measure of trading volume, removing market-wide volume, using a subsample of time-honoured firms, or expanding sample horizon.