VAR模型视角下贵州茅台量价关系的非线性特征研究

A Study on the Nonlinear Characteristics of Quantity-Price Relationship of Kweichow Moutai from a VAR Model Perspective

摘要: 作为A股市值最大的消费龙头企业，贵州茅台股价波动与成交量的联动规律，始终是市场与学界的关注焦点。本文选取2018年1月至2025年12月共1942个交易日数据，通过两类模型检验其量价关系：先构建线性VAR模型，发现滞后成交量对收益率几乎无解释力，模型拟合效果较差；再引入门限效应模型，以成交量中位数为界划分高低成交量区制，检验非线性特征。结果显示，高低成交量状态下量价关联存在显著差异，交互项t统计量3.446，在1%水平下显著。具体来看，低成交区间机构持仓稳定，价格对量能变化反应迟钝；高成交区间散户参与度提升，成交量信息含量显著增强。可为理解行业龙头企业股价的定价逻辑提供参考，也能为市场交易提供实证借鉴。

Abstract: As the leading consumer enterprise with the largest market capitalization in the A-share market, the linkage between stock price volatility and trading volume of Kweichow Moutai has long been a focus for both the market and academia. This paper adopts data covering 1942 trading days from January 2018 to December 2025 and employs two models to test its volume-price relationship. Firstly, a linear VAR model is constructed. The results indicate that lagged trading volume has barely any explanatory power for returns, resulting in poor modelfitting performance. Secondly, a threshold-effect model is introduced. Taking the median trading volume as the threshold, this paper divides high- and low-trading-volume regimes to examine nonlinear characteristics. The empirical results show that the volume-price correlation differs significantly between high- and low-volume states. The t-statistic of the interaction term is 3.446, which is significant at the 1% level. Specifically, institutional holdings remain stable in the low-volume regime, and stock prices respond sluggishly to volume changes. In the highvolume regime, retail-investor participation rises, and the information content of trading volume increases remarkably. This research provides references for understanding the pricing logic of stock prices of leading industrial enterprises and offers empirical evidence for market transactions.