基于搜索关键词关注度的中国股票市场波动研究

发布时间：2018-02-12 15:03

本文关键词： 股价指数结构方程均衡分析误差修正模型　出处：《哈尔滨工业大学》2012年硕士论文　论文类型：学位论文

【摘要】：随着中国经济的高速发展带动的需求增多，中国的股票市场发展迅速，，并在资本市场扮演了重要角色，对国民经济的影响力日趋重要。然而股票市场作为一个复杂系统，对股票市场的研究面临两个主要问题，一是基于历史数据的股价波动研究面临数据的时滞性和波动的无规则性问题，另一个是对股票市场影响因素的研究发现各类复杂因素如经济形势、货币供给、利率、通货膨胀率、经济政策等经济变量对股票指数的影响存在传导的不确定性，而且这种传导带来的不确定性在发展中国家尤为显著。针对这一现象，部分学者通过加入实时新闻、评论等数据提高了对股票市场的预测准确性，也有学者根据经济学理论消费需求是影响价格波动的最主要因素提出，从投资者投资行为趋势的角度分析消费需求变化和价格指数波动将有助于研究发展。随着信息网络技术的发展，搜索引擎逐渐成为信息查询的主流途径之一，互联网用户基于搜索引擎的信息查询行为中蕴含的行为和决策信息以及对其心理和行为趋势的表达能力受到更多关注。Google等搜索引擎关键词关注度指数应用工具的发布，可以有效快捷的帮助研究者挖掘互联网用户搜索行为中蕴含的行为和决策信息。随着2005年中国股权分置改革的展开，需求对股价指数波动的影响作用日趋重要，因此本文结合股票市场的研究需求和搜索引擎的环境背景，将从通过分析用户需求决策行为趋势预测股票市场的价格波动的角度出发，首先分析信息查询行为与用户需求的关系模型，并根据股票市场的相关理论和基于搜索引擎的信息查询行为特点建立基于搜索引擎的股票市场相关信息查询模型，然后使用结构方程模型分析和验证用户关于股票市场相关信息的搜索与股价指数的结构关系，使用协整分析和误差修正模型相结合的方法研究基于搜索引擎的搜索关注度指数分析股价指数的长期均衡和短期波动。研究发现，股票市场相关的搜索关注度指数对股价指数的长期均衡有较强的表达能力，对成交量的短期波动亦有较好的预测能力。本文的研究将有助于扩展对信息查询行为和股票交易等的研究视角，验证互联网用户基于搜索引擎的信息查询行为对现实市场的表达能力，并为股票投资者、上市公司和相关管理部门提供参考意见。
[Abstract]:With the increasing demand driven by the rapid development of China's economy, the stock market in China has developed rapidly and played an important role in the capital market, and its influence on the national economy has become increasingly important. However, as a complex system, the stock market is a complex system. There are two main problems in the research of stock market. One is the research of stock price volatility based on historical data. Another is the study of the influencing factors of the stock market. It is found that the influence of economic variables such as economic situation, money supply, interest rate, inflation rate, economic policy and other economic variables on the stock index is uncertain. And the uncertainty caused by this transmission is particularly significant in developing countries. In response to this phenomenon, some scholars have improved the accuracy of stock market forecasts by adding real-time news, reviews, and other data. According to economic theory, some scholars also put forward that consumption demand is the most important factor affecting price fluctuations. Analyzing the change of consumer demand and the fluctuation of price index from the angle of investor's investment behavior trend will be helpful to the research and development. With the development of information network technology, search engine is becoming one of the mainstream ways of information query. The behavior and decision information contained in the information query behavior of Internet users based on search engines, as well as the ability to express their psychological and behavioral trends have attracted more attention. Google and other search engine keyword attention index application tools have been published. It can effectively and quickly help researchers to mine the behavior and decision information contained in the search behavior of Internet users. With the development of China's split share structure reform in 2005, the influence of demand on stock price index fluctuation is becoming more and more important, so this paper combines the research demand of stock market and the environment background of search engine. From the perspective of forecasting the price fluctuation of stock market by analyzing the trend of user demand decision behavior, the relationship model between information query behavior and user demand is analyzed. According to the relevant theory of stock market and the characteristics of information query behavior based on search engine, a search engine based information query model for stock market is established. Then using the structural equation model to analyze and verify the structural relationship between the search of the relevant information about the stock market and the stock price index. Using the method of cointegration analysis and error correction model, this paper studies the long-term equilibrium and short-term volatility of stock price index based on search focus index based on search engine. The search concern index of stock market has a strong ability to express the long-term equilibrium of stock price index, and it also has a good ability to predict the short-term fluctuation of trading volume. The research in this paper will be helpful to expand the research perspective of information query behavior and stock trading, to verify the ability of Internet users to express the information query behavior based on search engine to the real market, and to be a stock investor. Listed companies and relevant management departments to provide reference.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F713.5;F832.51;F224

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