根據Han et al.（2018）論文中錯誤定價會使股票成交量與報酬率在低估時為正相關，而高估實為負相關，本文探討自1996年1月至2017年12月香港股票，利用了錯誤定價模型以及將高估和低估設為虛擬變數下使用混合迴歸模型時高估與低估時成交量與報酬率之間的關係，並考慮了金融海嘯是否會影響成交量與報酬率之間的關係。實證結果發現，香港股票僅有在低估股票價格時有著錯誤定價效果，而在高估時則沒有，並且發現香港股票成交量與報酬率之間呈現負相關，隨著成交量的增加報酬率會逐漸下降，造成負相關可能為香港股票存在著動能生命週期或者是流動性風險的原因。;According to Han et al. (2018), mispricing will make stock trading volume and return positively correlated for underpriced stocks and negatively correlated for overpriced stocks. This article explores Hong Kong stocks from January 1996 to December 2017. We use the mispricing model and the pooled regression to analyze the relationship between volume and return for overpriced and underpriced stocks, and to discuss whether the financial tsunami will affect the relationship of volume and return. The empirical results show that Hong Kong stocks have a mispricing effect only for underpriced stocks, but not for overpriced stocks. In addition, there is a negative correlation between the trading volume and the rate of return. The possible reasons for the negative correlation between volume and return of Hong Kong stocks are: momentum life cycle or liquidity risk.
