基于分位数回归的沪港股市价量关系研究

发布时间：2018-04-12 18:11

本文选题：分位数回归 + 价量关系　；参考：《南京大学》2015年硕士论文

【摘要】：价格和成交量能最直接地反映股票市场的状况,价量关系是我们了解股票自身、股票交易和股票市场都是一个重要的切入点,同时也是了解金融市场结构以及市场有效性的重要途径。中国股票市场在一个特殊国情下产生,发展历史较为短暂,要全面而深刻地了解它必定离不开价量关系的研究。近期,为了进一步推动中国资本市场对外开放,国家积极创造条件,建立了上海与香港股票市场的交易互联互通机制(简称沪港通)。在此背景下,研究沪港市场的价量关系对于沪港通的开通具有重要的现实意义。本文主要讨论的问题有：价量关系相关理论、分位数回归原理介绍以及价量关系的实证分析等。围绕这些问题,采用的研究方法和思路是：本文以沪港通为背景,以上海证券交易所和香港证券交易所为研究对象,以分位数回归为主要研究方法,综合分析A股市场和H股市场的成交量与收益率之间的关系,深层次剖析沪港两地的价量关系特征。本文的主要研究结论：针对具有异方差性的数据,分位数回归比普通最小二乘回归更加稳健、有效；从整体来看,A股市场和H股市场的收益率和成交量之间呈正相关关系,即存在“量利齐扬”和“量缩利减”的现象；通过对比上证沪股通指数和上证港股通指数的收益率和成交量分位数回归系数,发现港股通的回归系数波动较大,这意味着港股市场风险大于A股市场。
[Abstract]:Price and trading volume can most directly reflect the situation of the stock market. The relationship between price and quantity is the understanding of the stock itself. Stock trading and stock market are both an important entry point.At the same time, it is also an important way to understand the structure of financial markets and market effectiveness.The stock market of China is produced under a special national condition, and its history of development is relatively short. If we want to fully and profoundly understand it, we must be inseparable from the study of the relationship between price and quantity.Recently, in order to further promote the opening up of China's capital market, the state has actively created the conditions for the establishment of a trading interconnection mechanism between Shanghai and Hong Kong stock markets (referred to as the Shanghai-Hong Kong Stock Connect).Under this background, it is of great practical significance to study the relationship between the price and quantity of Shanghai and Hong Kong market for the opening of Stock Connect between Shanghai and Hong Kong.The main problems discussed in this paper are: the theory of valence and quantity relation, the introduction of quantile regression principle, and the empirical analysis of the relationship between price and quantity.Around these problems, the research methods and ideas are as follows: this paper takes the Stock Connect of Shanghai and Hong Kong as the background, the Shanghai Stock Exchange and the Hong Kong Stock Exchange as the research objects, and the quantile regression as the main research method.This paper comprehensively analyzes the relationship between trading volume and yield in A-share market and H-share market, and deeply analyzes the characteristics of price-volume relationship between Shanghai and Hong Kong.The main conclusions of this paper are as follows: for the data with heteroscedasticity, quantile regression is more robust and effective than ordinary least square regression.That is to say, there are the phenomena of "Quantile Liqiyang" and "reduction of interest in quantity". By comparing the return rate of Shanghai Stock Connect Index with Shanghai Stock Connect Index and the regression coefficient of turnover quantile, it is found that the regression coefficient of Hong Kong Stock Connect fluctuates greatly.This means that the Hong Kong stock market risk is greater than the A-share market.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.51;F224

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