太钢不锈股市高频数据实证研究

发布时间：2018-03-08 22:26

本文选题：高频数据　切入点：持续期　出处：《山西财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：本文是在张所地教授主持的课题《太原不锈钢产业园区国民经济与社会发展的第十二个五年规划》的研究基础上和资助下，从股市高频数据反映的股票特征角度出发，就太钢不锈股票流动性、股价波动和信息披露等方面进行实证分析，揭示出了太钢不锈钢公司面临得经营管理问题，给出了解决思路，主要工作如下： 1.收集整理太钢不锈股市高频数据，并对高频数据特征予以分析。收集了2011年下半年来太钢不锈的股市高频数据，整理出股票交易持续期、固定持续期下的日均价格、日内成交量以及超阈值成交量等数据。经分析，太钢不锈高频数据交易持续期呈现明显的“倒U型”日内效应，，通过构建方法将日内效应予以剔除，改善了样本序列的离散程度。 2.对高频数据进行深入研究，结合市场微观结构理论揭示了交易持续期、日内成交量和尾指数对股票流动性及波动性的影响。运用WACD模型对交易持续期进行实证研究，分析了交易持续期及股票流动性的集聚性；通过对日内成交量与股价波动的因果分析，以及广义pareto分布下超阈值高频数据尾部分析，揭示了日内成交量和尾指数对股票流动性及股价波动的影响； 3.揭示了太钢不锈钢公司面临的经营管理问题。通过太钢不锈高频数据反映的股票特征，结合太钢不锈钢公司实际情况揭示公司面临的经营管理问题，主要表现为公司经营管理方式、业务模式上的不足，对股价关心不够并缺乏有效风险防控措施来降低股价波动，同时该公司也面临着短期融资问题。
[Abstract]:This paper is based on the research of the 12th Five-Year Plan for the National economy and Social Development of Taiyuan stainless Steel Industrial Park, which is sponsored by Professor Zhang Yu-di, and from the perspective of the stock characteristics reflected by the high frequency data of the stock market. Based on the empirical analysis of stainless steel stock liquidity, stock price fluctuation and information disclosure, this paper reveals the management problems faced by stainless steel company of Taiyuan Iron and Steel Co., Ltd., and gives the solutions. The main work is as follows:. 1. Collect and sort out the high frequency data of stainless stock market of TISCO, and analyze the characteristics of high frequency data. Collecting the high frequency data of the stainless stock market of Taiyuan Iron and Steel Company since the second half of 2011, sorting out the data of the stock trading duration, the daily average price under the fixed period, the intraday trading volume and the over-threshold trading volume and so on. The high frequency data trading duration of stainless steel in Taiyuan Iron and Steel Co., Ltd is obviously "inverted U-shaped" intraday effect. The intra-day effect is eliminated by the method of construction, and the dispersion of sample sequence is improved. 2. The effects of trading duration, intraday trading volume and tail index on stock liquidity and volatility are revealed based on the theory of market microstructure. Using WACD model, the paper analyzes the agglomeration of trading duration and stock liquidity, analyzes the cause and effect of intraday trading volume and stock price volatility, and analyzes the tail of ultra-threshold high-frequency data under generalized pareto distribution. The influence of intraday turnover and tail index on stock liquidity and stock price volatility is revealed. 3. The problems of operation and management faced by the stainless steel company of Taiyuan Iron and Steel Co., Ltd are revealed. Through the stock characteristics reflected by the high frequency data of stainless steel in Taigang, combined with the actual situation of stainless steel company of Taiyuan Iron and Steel Co., the problems of management and management faced by the company are revealed, which are mainly reflected in the deficiency of the management mode and business model of the company. There is a lack of concern for share prices and lack of effective risk control measures to reduce volatility, while the company faces short-term financing problems.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F426.31;F224

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