我国A股市场量价关系的实证分析

发布时间：2018-03-21 09:48

本文选题：量价关系　切入点：开盘价　出处：《江西财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：股票市场上量价关系理论的研究在国外已经历经了很多年,如今正是微观金融领域研究的热点课题之一。传统的量价关系理论倾向于从以下四个方面进行研究：价格自身的变化与交易量关系分析；价格变化绝对值与交易量关系分析；股票价格变化与交易量的因果关系；市场波动性与交易量关系研究。本文在此理论的基础上,以中国沪、深股票A股市场为研究对象,并引入大盘指数收益率和公司规模两个控制变量,对交易量(包括当期与滞后期)与开盘价中是否包含可以预测收盘价格变动趋势的有价值信息进行实证分析。全文共分为五章。第一章以Karpoff关于研究量价关系的必要性为引子,详细介绍了传统的量价关系理论(四个方面)；高交易量研究理论(交易量与收益率序列相关性的关系)；开盘价与收盘价研究理论。第二章详细介绍了上海与深圳证券交易所交易规则中关于开盘价与收盘价的制定标准及其作用。第三章详细介绍了数据的筛选方法与模型构建过程。本文以2001年1月1日至2010年12月31日为样本期,共选取了427只股票,进行实证分析。并把总样本分为小、中、大流通市值三个子样本,然后分别对它们进行面板回归分析。紧接着又考察了不同的市场环境对本文的研究结论有何影响,即从牛市、熊市的角度再次对上述子样本分别进行分析。最后综合考虑小、中、大流通市值样本,并引入它们的虚拟变量,做一虚变量回归模型进行对比分析。第四章是实证分析部分。首先,对样本数据进行描述性统计分析,并将得出的统计结果与欧美成熟股市进行对比分析,以考察我国股票市场中投资者行为特征。然后,对上述构建的所有模型均做岭回归分析,就其所得到的统计结果,结合我国股票市场的实际情况逐一进行分析。第五章是结论与建议部分。对本文研究所得出的结论,加以整理小结,最后提出相应的政策建议。实证结果发现,第一,相比国外成熟市场,我国股市投机氛围较为浓厚。第二,股票的日交易量对股票收益率存在着影响,总的来说,同期日交易量与收益率之间具有显著地正相关关系,而滞后期交易量与收益率之间却表现出显著的负相关关系。并且,随着流通市值的增大,同期交易量对收益率的解释能力在逐渐增强,而滞后期交易量却得到截然相反的结论。在牛市和熊市下的实证分析,总体上也能得出相似的结论。第三,不论市场是处于牛市还是熊市环境下,股票当期开盘收益率对收盘收益率的影响程度均远远的超过历史期收盘收益率的影响。历史收盘收益率与当期收盘收益率正相关,这表明在不考虑交易量和控制变量(大盘指数收益率、公司规模)的影响下,收益率倾向于延续原来的变动趋势。不论市场状态如何,在所有的子样本中,开盘收益率均显著地正相关于收盘收益率。并且在引入开盘量后,模型整体均得到了很大的改善。
[Abstract]:Study on the stock market price volume relation theory in foreign countries has gone through many years, now it is one of the hot topics in the micro finance field. The relationship between volume and price tendency in traditional theory research from the following four aspects: the analysis of price changes and trading volume relations; analysis of the relationship between the absolute value of price changes and trading volume; the causal relationship between stock price changes and trading volume; Study on the relationship between market volatility and trading volume. Based on this theory, the Chinese Shanghai Shenzhen stock, A stock market as the research object, and introduces the market index returns and the size of two control variables, the volume of transactions (including the current and lag) the valuable information for empirical analysis and the opening price is contained in the closing price movements can be predicted.
This paper is divided into five chapters. The first chapter is necessary to Karpoff a study on the relationship between volume and price as an example, introduces the traditional price volume relations theory (four aspects); the high volume of trade theory (the relationship between trading volume and return serial correlation); opening and closing price research theory.
The second chapter introduces in detail the standard and function of the opening and closing prices in the trading rules of the Shanghai and Shenzhen stock exchanges.
The third chapter introduces the data screening methods and the model building process. This paper from January 1, 2001 to December 31, 2010 as the sample period, a total of 427 stocks, the empirical analysis. The total sample was divided into small, large market capitalization of three sub samples, then panel regression analysed. Followed by the investigation the impact of different market environment on the conclusions of this paper, from the perspective of the bull market, bear market again the sub samples were analyzed. Finally, considering the small sample, the large market capitalization, and the introduction of dummy variables they do, a dummy variable regression model were analyzed.
The fourth chapter is the empirical analysis. Firstly, the descriptive statistical analysis of sample data, the statistics and the results were compared with the mature stock markets in Europe and America, in order to study the behavior of investors in our country stock market characteristics. Then, all the models built above all ridge regression analysis, the statistical results obtained. According to the actual situation of China's stock market are analyzed.
The fifth chapter is the conclusion and the suggestion part. The conclusion is summarized and the corresponding policy suggestions are put forward at the end.
The empirical results show that, first, compared with foreign mature market, the speculative atmosphere of China's stock market is relatively strong.
Second, the daily trading volume of the stock have influence on stock returns, in general, have a significant positive correlation between the same day trading volume and return, and the lag between the trading volume and return it showed a significant negative correlation. Moreover, with the increase of market capitalization and trading volume over the same period of yields explanation ability gradually increased, while the lag trading volume has been the opposite conclusion. Empirical analysis in bull and bear markets, is also generally come to similar conclusions.
Third, whether the market is in a bull market or bear market environment, stock returns impact on the current opening closing rate of return is far more than the history of the closing effect of the return rate. The historical closing rate of return and the current closing rate of return is related to that without considering the trading volume and control variables (the market index returns the size of the company), under the influence of changing trend yields tend to perpetuate the original. Regardless of the state of the market in all sub samples, the opening rate of return has significantly positive correlation with the closing rate of return. And with the introduction of the opening amount, the whole model have been greatly improved.

【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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