中国股票市场量价关系研究

发布时间：2018-04-05 07:23

本文选题：量价关系　切入点：成交量　出处：《东北财经大学》2011年硕士论文

【摘要】：量价关系理论一直是金融领域研究的热点课题之一。成交量作为股票市场中一个比较重要的变量,不仅能反映股票市场中的供求关系,还能预测股价的变动。量价关系作为股票市场分析的重要部分,对指导广大投资者的投资行为具有深远的影响,本文所研究的内容就是股价与成交量之间相互作用的关系,量价关系的研究对监管者和投资者进行趋势分析具有重要意义。全文以沪深股票市场为研究对象,采用描述统计和实证分析相结合的方法,从成交量的内在结构、成交量与价格变动之间的相关关系和成交量与市场波动间的动态关系等角度,详细地揭示了我国证券市场的量价关系特征。本文的研究目的是通过中国股市的最新成交量和股价数据资料,全面系统的对中国股市量价及其波动性关系进行实证研究,根据实证结果,对中国股市的发展做出评价和提出相应的政策建议。全文共分为五章。第一章是导论部分,主要对本文的选题背景、研究意义、研究内容和研究方法等做了简要地介绍；第二章是研究综述,阐述和回顾量价关系的理论基础及国内外研究现状,为后文的分析奠定良好的理论基础：第三章是量价因果关系研究,全面分析了股价波动和成交量序列之间的静态和动态相关关系。首先,分析了收益率和成交量的均值、标准差、偏度、峰度等基本统计特性；其次,在将成交量分解为预期成交量和非预期成交量的基础上,更加深入地分析了股价波动及各类成交量的自相关性和平稳性；最后,在上文研究的基础上,探讨了各类成交量与股价波动之间的动态Granger因果关系；第四章是基于ARCH模型的量价波动性关系研究,重点利用非对称EGARCH和TARCH模型对我国沪深股票市场成交量与股价之间的条件波动性做了比较细致地研究,并对研究结果做了详细地解释说明；第五章是结论和政策建议。对全文的研究进行总结,并在此基础上针对中国股市如何健康平稳的发展提出建议。通过对中国股市量价关系全面系统的分析,得出结论：中国股票市场上成交量和股价之间存在显著的正相关关系；中国股票市场的收益率波动存在十分显著的集聚性和持久性；成交量中的非预期交易量是引起股价波动的主要原因,说明中国股票市场上成交量在某种程度上确实能反映股价的变化,为股票市场研究提供了较大的帮助；我国股市中股价的波动存在显著的杠杆效应,即利空消息对股市波动的作用要显著大于同等程度下利好消息对股市波动的作用。本文创新之处在于：数据选取较新,能够较好地反映目前中国股票市场上的量价关系；在将成交量分解为预期成交量和非预期成交量的基础上,将各类成交量分别作为外生变量加入到EGARCH和TARCH模型中进行分析,不但能够对比各类成交量对股价波动的影响大小,而且还可以对比EGARCH和TARCH模型对同一时间序列数据拟合效果的优劣；从两个不同的角度研究了中国股票市场的量价关系,即使用格兰杰方法检验了量价之间的因果关系；又运用ARCH族模型从量的角度更加深入地分析成交量对收益率及股价波动的影响大小。本文不足之处在于：由于中国股票市场起步较晚、发展不稳定,而且国家宏观调控也会影响到股票市场的表现,加上所选用的研究方法及样本容量的不同,这些因素都会最终影响到研究结果。运用EGARCH和]TARCH模型进行的实证过程通常对样本容量有很高的要求,而本文的研究过程仅利用了1261个日样本数据,这就有可能造成研究结果的不确定性：影响股价的因素是多种多样的,加上美国次贷危机对全球金融市场的冲击,更加增加了股票市场中股价的波动,同时,中国为了应对这种危机所制定的一系列政策诸如汇率的调整,在一定程度上也会提高股票市场的波动性。本文仅从成交量方面探讨股票市场波动性,具有一定的片面性。
[Abstract]:The relationship between volume and price theory has been one of the hot topics in the field of finance. The stock market turnover as one of the most important variables in the stock market can not only reflect the relationship between supply and demand, but also predict the stock price. Analysis of the relationship between volume and price is an important part of the stock market, has a far-reaching influence on the investment behavior of investors guide the relationship and interaction between the content of this paper is to study the stock price and trading volume, price volume relation of regulators and investors for trend analysis has important significance.
According to the Shanghai and Shenzhen stock market as the research object, using the method of describing statistical analysis and empirical combination, from the internal structure of the volume, the angle between the volume and price changes of the relationship between trading volume and market volatility and the dynamic relationship between detail, reveals the relationship between volume and price characteristics of China's securities market. The purpose of this study is the latest China stock market trading volume and stock price data, a comprehensive system of Chinese stock market volatility between volume and price for empirical research, according to the empirical results, the development of the stock market China make evaluation and put forward corresponding policy recommendations. This paper is divided into five chapters. The first chapter is the introduction part, mainly to this article the background, research significance, research content and research methods are briefly introduced; the second chapter is the research summary, elaboration and review the relationship between volume and price theories in China and abroad Study on the status quo, which lay a good theoretical foundation for later analysis: the third chapter is to study the causal relationship between volume and price, comprehensive analysis between stock price volatility and trading volume series of static and dynamic correlation analysis. First, the average rate of return and the volume of the standard deviation, skewness, kurtosis and other basic statistical characteristics; secondly, in the volume is decomposed into expected and unexpected trading volume on the more in-depth analysis of the self correlation and the stability of the stock price volatility and trading volume of all kinds; finally, on the basis of the above, probes into the types of volume and price volatility Granger causality; the fourth chapter is to study the relationship between ARCH volume and price volatility based on the model, focusing on the use of asymmetric EGARCH and TARCH model of conditional volatility between China's Shanghai and Shenzhen stock market trading volume and stock price to do a more detailed study and The research results are explained in detail. The fifth chapter is the conclusion and policy recommendations. The research is summarized, and on this basis, suggestions for healthy and stable development of China's stock market are put forward.
Through the analysis of Chinese stock market price volume relationship systematically concluded: Chinese stock market between trading volume and stock price has a significant positive correlation; volatility of stock market Chinese is significant convergence and persistence; non expected trading volume in the volume is mainly caused by the fluctuation of stock price, that Chinese the stock market turnover can really reflect the changes in the stock prices to a certain extent, provide more help for the study on stock market; stock price volatility in China's stock market has significant leverage effect, namely eliminating bad effect information on the stock market volatility is significantly greater than the same degree of good news on the stock market volatility.
The innovations of this paper are: newer data selection can better reflect the current China on the stock market price volume; in the volume is decomposed into expected and unexpected trading volume on the various types of volume respectively as an exogenous variable is added to the EGARCH and TARCH model to analyze and compare various types of volume can not only impact on the stock price the size of the fluctuations, but also the comparison between EGARCH and TARCH model to the fitting effect of the same time series data; from two different perspectives on the relationship between price and volume China stock market, using the Grainger method to test the causal relationship between volume and price; and the use of the ARCH model from the perspective of quantity more deeply. Analysis of the influence of the turnover rate of return and volatility of the size.
The inadequacies of this article lies in: because the Chinese stock market started late, the development is not stable, and the national macro-control will also affect the performance of the stock market, the research method and sample size with the select of the different, these factors will ultimately affect the results of the study. The empirical process using EGARCH and]TARCH model are usually high demands on the sample size, and the course of the study using only 1261 days of sample data, which may result in the uncertainty of research findings: the factors affecting the stock price is varied, with the U.S. subprime crisis on the global financial market shocks, more increase the price of the stock market fluctuations. At the same time, a series of policies Chinese in order to deal with the crisis developed such as the exchange rate adjustment, to a certain extent, will increase the volatility of the stock market. This paper only from the transaction amount The discussion of the volatility of the stock market has a certain one-sided nature.

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2011
【分类号】：F224;F832.51

【引证文献】