我国四个股票市场价格决定模式比较研究

发布时间：2018-03-16 03:31

本文选题：F10信息　切入点：股票市场　出处：《燕山大学》2013年硕士论文　论文类型：学位论文

【摘要】：有效市场理论认为，，信息刺激价格波动；股票价格是由一个信息集决定。F10信息是中国股票市场比较完备的信息集。通过逐日收集、处理F10信息，提取出其中6大类40余个数量指标；建立相应的套利定价模型，利用逐步回归方法，找出我国中小板、创业板、深市A股和沪市A股的股票市场价格影响因素和定价模式，并进行分析比较。结果表明，各个股票市场关注的第一大类要素都是未来收益预测要素；中小板和创业板同时关注明年收益和后年收益，深市、沪市A股几乎只关注后年收益。资产类因素对创业板股票价格有重要影响。深市和沪市还分别受股本因素和持仓情况的影响作用较大。本文首先对有效市场理论、资本资产理论以及套利定价理论以及统计相关理论进行介绍，概述了本文的理论基础。其次构建了多远线性回归模型，对提取的F10信息进行逐日、逐步的回归分析。再次，由回归分析得出实证结果，对每个市场板块的实证结果进行了描述，得出每个股票市场的定价特点，并分别对股本因素、持仓因素、资产因素、经营因素、未来收益预测因素和增长因素6大类因素中各个市场板块入选情况的不同进行了比较，得出我国股票市场的定价特点。最后基于本文实证的结果阐述了对于我国政府、投资者和上市公司的启示，并针对本文研究中存在的问题提出相关展望。
[Abstract]:The efficient market theory holds that information stimulates price fluctuations; stock prices are determined by a set of information. F10 information is a relatively complete set of information in China's stock market. More than 40 quantitative indexes of 6 categories are extracted, and the corresponding arbitrage pricing model is established. By using the stepwise regression method, we find out the influencing factors and pricing patterns of the stock market price of China's small and medium-sized boards, gem, Shenzhen A-shares and Shanghai A-shares. The results show that the first major factor concerned by each stock market is the factor of future income forecast; the small and medium-sized board and the growth enterprise market are concerned about the next year's income and the following year's income simultaneously. Asset class factors have important influence on gem stock price. Shenzhen stock market and Shanghai stock market are also influenced by equity factor and position situation respectively. This paper first introduces the efficient market theory, capital asset theory, arbitrage pricing theory and statistical theory, and summarizes the theoretical basis of this paper. Secondly, the multidistance linear regression model is constructed, and the extracted F10 information is analyzed day by day and step by step. Thirdly, the empirical results are obtained by regression analysis, the empirical results of each market are described, and the pricing characteristics of each stock market are obtained, and the equity factor, position factor, asset factor and management factor are respectively analyzed. In this paper, the author makes a comparison between the factors of predicting future income and the factors of growth, and finds out the pricing characteristics of China's stock market. Finally, based on the empirical results of this paper, this paper expounds the enlightenment to the Chinese government, investors and listed companies, and puts forward the relevant prospects for the problems in this study.
【学位授予单位】：燕山大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】