在參考國內外相關研究成果的基礎上，采用實證方法研究了我國股票市場量價配合的技術分析交易規則的有效性。實證研究表明，在考慮交易費用和風險補償以后，該規則的有效性受其采用的時間跨度的影響。除去20%的成交量變化率限幅配合技術指標交易結果為負面以外，存在一個成交量變化率限幅能夠使得量價配合的技術交易規則獲得優于不使用限幅的交易結果。實證結果支持了量價配合的技術分析交易規則在我國股票市場短期限內的有效性，即該規則能取得統計上顯著的異常收益。
關 鍵 詞 量價配合; 技術分析交易規則; 隨機指數; 平衡能量指數

Abstract By combining the variation of price and volume we predict the following variation and get abnormal returns. Our empirical study show that, after controlling for the trading costs and risks, the efficiency of technical analysis transferring rule is relevant to the time span it adopts. Except that it result negatively as we apply a 0.2 trade volume, there is always a technical analysis transferring rule with a trade volume limiting can bring us more abnormal returns than without the limiting. In general, our study supports the conclusion that the technical analysis rule with the conformation of volume and price has some efficiency, though further study is always expected.
Key words conformance of volume and price; technical analysis trading rule; stochastics; on-balance volume