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拆股前后的历史价格和成交量调整

文章 Quant Q&A · 作者: Philippe Remy
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总结

本文解释如何调整历史股票数据，使拆股前后的价格和成交量具有可比性。对于正向拆股，获采纳的答案建议将拆股前价格除以拆股比例，并将拆股前成交量乘以该比例。示例采用一拆七：较早的收盘价除以七，历史成交量则扩大七倍。这样调整后，隐含成交金额保持一致。

对于反向拆股，当比例小于一时同样适用这些公式，因此调整后的价格上升，成交量下降。问题中提出的变换却是将较早价格乘以比例、将成交量除以比例，这与历史数据的常规调整方向相反。答案给出了算术示例，但未讨论不同数据供应商的调整惯例、零碎股处理，或如何让调整后的数据与其他公司行动对齐。准备时间序列时，用户应核实拆股比例的定义和数据提供方的方法。

核心观点

  • 调整正向拆股前的历史数据时，将价格除以拆股比例，并将成交量乘以该比例。
  • 在既定数据惯例下，这种调整可以保持价格乘以成交量的结果不变。
  • 反向拆股使用相同的比例计算，调整后价格上升、成交量下降。
  • 应用调整前，确认数据提供方定义的拆股比例是否为拆股后股数除以拆股前股数。

标签

股票美国市场统计学回测
全文
# How to adjust trading volume based on stock splits?


# How to adjust trading volume based on stock splits?












Does anyone know how to adjust `trading volume` based on stock splits?

Here is an example of ANA (9202.T) on 2017-09-27.

A stock split happened with factor 1:10.

```
DateTime                Open    High    Low     Close   TradedVolume
2017-09-26 15:00:00     423.0   423.0   423.0   423.0   3787000

DateTime                Open    High    Low     Close   TradedVolume
2017-09-27 09:00:00     4206.0  4209.0  4201.0  4208.0  829700
```

Do I just need to divide `TradedVolume` by a factor of 10 and multiply the prices by 10, before the split?

In this case I would get the adjusted values to be:

```
DateTime                Open     High     Low      Close   TradedVolume
2017-09-26 15:00:00     4230.0   4230.0   4230.0   4230.0  378700

DateTime                Open     High     Low      Close   TradedVolume
2017-09-27 09:00:00     4206.0   4209.0   4201.0   4208.0  829700
```

This seems the most natural to me as we keep the total value (price*volume) constant.

Looking forward to hearing your thoughts.

## Answer by gizmo (score 5, accepted)

https://quant.stackexchange.com/a/36865

Simple:

- Divide the share price by the split factor.

- Multiply the volume by the split factor.

Let's use Apple's 7/1 split from Monday June 9, 2014 as an example.

The split factor was 7/1 or 7.

The closing price on Friday June 6, 2014 was 645.57 and the volume was 12497800.

After the split, the closing price for Friday June 6, 2014 was adjusted to 92.22 and the volume increases to 87484600.

- 645.57 / ( 7 ) = 92.22

- 12497800 * ( 7 ) = 87484600

For a reverse split, the calculation is the same but the share price will increase and the volume will decrease because the split factor is a fraction. In a 1/4 reverse split, the split factor is (1/4) or 0.25.

For further reading:

- What is the adjusted close?

- CRSP Calculations

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: CC BY-SA 4.0 (Stack Exchange)

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。