中文摘要：

本文用分量回归的方法来分析中国股市收益率和成交量关系。实证结果发现中国股市具有“价量齐扬”和“价跌量缩”的现象，但前者在接近最大涨幅时减弱，而后者在接近最大跌幅时增强。然若采用传统的OLS方法分析，则无法发现这种不对称性。对于此涨跌幅下的价量关系不对称特征，笔者认为可能的原因是股市的卖空限制使投资人无法对市场信息（尤其是负面信息）充分反应，因此造成正负收益率与成交量之间的不对称关系。

英文摘要：

This paper analyzes the relationship between the stock market return and the trade volume by using quantile regression. The result shows that there exist significant positive return-volume relations across quantiles. However, the relations become weaker when it reaches the maximum rise and becomes stronger when maximum drop comes. The asymmetry of returnvolume relations can be possibly explained as follows： because of the restrictions on short sales, the investors can not give a full reaction to the market information which results in the asymmetric relation between the positive/negative return and trade volume.