基于分位数回归的我国股市价量关系分析

发布时间：2018-01-08 09:00

本文关键词：基于分位数回归的我国股市价量关系分析　出处：《兰州商学院》2012年硕士论文　论文类型：学位论文

【摘要】：股票市场中价格与交易量的关系一直是金融领域的重要话题。研究价量关系是了解金融市场结构的一个途径，也是研究市场有效性的重要方面。价量关系的研究对于认识和理解股票本身、股票交易以及股票市场而言都是最为基础也是最为重要的一个切入点。对于相对历史较短且在特殊国情下产生、发展的中国股票市场而言，为了对其进行全面深刻地认识和理解，也必定离不开对价量关系的研究。全文分为五章。第一章为引言，介绍了问题提出的背景及意义，分析总结了现有文献对该问题的研究。第二章是关于价量关系一些理论模型的介绍。第三章是分位数回归模型的介绍，，以及参数估计的方法和模型的检验方法。第四章是价量关系的实证部分，也是文章的主体部分。用三种不同的形式对比分析了上证综指、深圳成指和创业板指数收益率和成交量之间的差异。第五章为结语，概括了本文的分析结论，并提出相应政策建议。本文的研究结论表明，把分位数回归这种方法运用在分析价量关系上，可以更清楚地刻画出在高价量去和低价量区成交量对收益率的影响，也更能详尽的描述在不同阶段收益率和成交量的变化差异。通过上证综指、深圳成指和创业板指数的对比分析可以看出，大盘蓝筹股和中小盘股在牛市和熊市的价量关系有着明显的差异。
[Abstract]:The relationship between price and trading volume in stock market has been an important topic in the field of finance. Studying the relationship between price and quantity is a way to understand the structure of financial market. It is also an important aspect of the study of market efficiency. The study of the relationship between price and quantity is helpful to understand and understand the stock itself. Stock trading and stock market are both the most basic and the most important entry point. For the relatively short history and special national conditions, the development of China's stock market. In order to fully understand and understand it, it must be inseparable from the study of the relationship between consideration and quantity. The paper is divided into five chapters. The first chapter is the introduction, which introduces the background and significance of the question. The second chapter is about the introduction of some theoretical models of valorem relation. The third chapter is the introduction of quantile regression model. Chapter 4th is the empirical part of the relationship between value and quantity, which is the main part of the article. Three different forms of comparative analysis of the Shanghai Composite Index. Chapter 5th is the conclusion, which summarizes the conclusions of this paper and puts forward the corresponding policy recommendations. The conclusion of this paper shows that using the quantile regression method to analyze the relationship between price and quantity, we can more clearly describe the influence of turnover on the yield in the region of high price and low price. Through the Shanghai Composite Index, Shenzhen Composite Index and gem index of comparative analysis can be seen. Large-market blue chips and small-and medium-cap stocks in the bull market and bear market price-volume relationship has obvious differences.
【学位授予单位】：兰州商学院
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

【引证文献】