基于技术分析的股价波动和成交量相关性的实证研究

发布时间：2018-01-20 09:20

本文关键词： 统计时间长度股价波动成交量相关性　出处：《贵州财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：中国证券市场经历了二三十年的快速发展,股票、期货等金融交易行为逐步规范化,各项金融操作也向成熟市场化前进,这是社会文明的表现。对于国家而言,证券市场的发展极大地推动国民经济的发展,对于中国老百姓而言,股票已经深入寻常百姓的日常生活当中,并成为普通大众重要的投资理财方式之一。在这种背景下,研究股票技术分析有极其重要的理论价值与现实意义。采用技术分析的投资者投资决策买点和卖点时,主要依据成交量与价格之间的关系,经过长时间的验证,量价分析成为影响投资者进行技术分析可靠分析方法之一。成交量与价格都是投资者对市场信息反应的描述,然而,由于信息不对称,成交量的价格对市场信息反应的速度必然有所不同,这将会造成成交量与价格波动的低相关性,对于一定的股价波动,异常放大的成交量往往伴随了隐藏的市场信息。本文以量价关系作为议题,从不同的时间长度中得到的成交量与股价波动的相关性来发现在多长的时间长度内,更容易出现异常放大的成交量,使用参数兄来分辨出异常放大的成交量,并验证这种成交量对未来股价波动的解释作用,本文从大盘指数分析、行业指数分析和个股分析三个方面进行了研究,最终得出了使用多长时间内的成交量和股价波动进行量价分析可以得到最好的技术分析效果,并对如何使用量价关系提出方法和建议。根据分析最终得到结论：第一,对于不同的指数和不同类型的股票,在统计时间长度为5分钟和一个月时,成交量与股价波动均体现出较高的相关性,而在统计时间长度为一天,一周时,则体现出较低的相关性。也就是说在一天或者一周中,相对于一定的股价波动更容易出现过量放大或者过量缩小的成交量,其中这种异常放大的成交量对未来的股价波动具有较强的预测作用。第二,对于上证指数,深圳成指,上证50等受大盘股影响较大的大盘指数,日成交量与周成交量与股价波动的相关性较低,月成交量则与股价波动具有较高的相关性,而对于创业板,中小板受小盘股影响较大的大盘指数,则只有在短期内成交量与股价波动具有较高相关性,在较长时间内股价波动与成交量的相关性都较低。第三,对于不同的行业指数,指数波动与成交量的相关性相似。指数波动与成交量相关性较高,成交量的较少出现异常放大。第四,相对于小盘股,大盘股的日成交量或者周成交量放大后,在未来短期内的更有可能出现股价运动趋势,因此投资者对更适合对大盘股使用成交量来发现股票的买点和卖点的成功概率更高。因此投资者更适合使用日K线与周K线,进行技术分析。当其他技术指标获得反转或者上攻信号时,日成交量或者周成交量的明显放大,是对未来走势的有力支持。
[Abstract]:China's securities market has experienced 20 or 30 years of rapid development, stock, futures and other financial transactions gradually standardized, all financial operations are also moving towards mature market-oriented, this is the performance of social civilization. For the country. The development of the securities market has greatly promoted the development of the national economy. For the Chinese people, the stock market has penetrated into the ordinary people's daily life. Under this background, it is of great theoretical value and practical significance to study the stock technology analysis. When investors use technical analysis to make investment decisions, they are mainly based on the relationship between turnover and price, and have been verified for a long time. Volume price analysis has become one of the reliable analysis methods that affect investors' technical analysis. Both volume and price are the description of investors' response to market information, however, because of information asymmetry. The speed of the price response to the market information will be different, which will lead to the low correlation between the volume and the price fluctuation, for a certain stock price volatility. Abnormal volume amplification often accompanied by hidden market information. In this paper, the relationship between volume and price is considered as the topic, and the correlation between the volume and the stock price fluctuation is found to be more likely to occur in the long period of time. The parameter brother is used to distinguish the abnormal enlarged trading volume, and to verify the effect of this volume on the future stock price volatility. This paper studies from three aspects: large market index analysis, industry index analysis and individual stock analysis. Finally, it is concluded that the best technical analysis effect can be obtained by using the volume price analysis of how long the trading volume and stock price fluctuate, and the methods and suggestions on how to use the price relation are put forward. First, for different indices and different types of stocks, when the statistical time is 5 minutes and a month, the volume and stock price volatility reflect a high correlation. When the statistical time is one day and one week, the correlation is lower. That is to say, it is more likely to overamplify or shrink the trading volume in a day or a week than a certain stock price fluctuation. This abnormal volume of trading has a strong predictive effect on the future volatility of stock prices. Second, for the Shanghai Stock Exchange Index, Shenzhen Cheng Index, Shanghai Stock Exchange 50 and so on by the impact of large-cap stock index. The correlation between daily turnover and weekly turnover and stock price volatility is low, while monthly turnover has a higher correlation with stock price volatility. Only in the short term trading volume and stock price volatility has a high correlation, in a longer period of time, the correlation between stock price volatility and trading volume is lower. Third, for different industry indices. The correlation between index fluctuation and turnover is similar. The correlation between index fluctuation and trading volume is high, and the volume of trading volume is very small. 4th, compared with small-cap stocks, the daily turnover or weekly turnover of large-cap stocks is enlarged. Stock price movements are more likely to occur in the short term. Therefore, investors are more suitable for large-cap stocks to use trading volume to find the stock's buying point and selling point. Therefore, investors are more suitable to use day K line and weekly K line. Technical analysis. When other technical indicators get the signal of reversal or upswing, the obvious amplification of daily turnover or weekly turnover is a strong support for the future trend.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【引证文献】