基于均值回归的中国股票市场的实证研究

发布时间：2018-05-01 02:24

本文选题：均值回归 + 时间序列　；参考：《山东大学》2012年硕士论文

【摘要】：证券投资理论发展已近百年,证券市场价格变动的预测问题一直是研究者关注的焦点。迄今为止,比较一致的观点是：长期范围内证券的收益率比短期范围内收益率更容易预测。均值回归理论就是长期收益率可预测的理论代表。西方统计学家在上世纪八十年代就已经开始注意股票市场中存在大量的均值回归现象,随后许多国外学者对全球具有代表性的股票市场进行了研究,希望通过研究这种特性,得出能够指导投资的理论。中国股票市场发展时间相对较短,关于均值回归的研究不多,本文希望通过对中国股票市场收益率的实证研究,得出其是否均值回归,以及均值回归的周期等一些性质,为更深入的研究中国股票市场奠定基础。本文在均值回归的基础上,首先系统的论述了股票投资理论的发展简史,以及国内外学者对股票市场的均值回归现象的研究和应用,其次,介绍了均值回归的定义,均值回归的特点,均值回归理论的现实意义及应用,以及时间序列均值回归的检验方法,然后,结合均值回归理论特点和中国股市的实际情况,选取上证指数,深证指数,上证A股,上证B股,及各行业板块的日收益率,先利用ADF方法检验时间序列的平稳性,再利用自相关检验的方法检验时间序列的均值回归性,研究结果表明,中国股票市场存在很多均值回归的现象,这为均值回归理论研究和实际应用提供了便利。
[Abstract]:The theory of securities investment has been developed for nearly one hundred years. The prediction of the price changes in the stock market has always been the focus of the researchers. So far, the consensus view is that the yield of securities in the long term is easier to predict than the rate of return in the short term. The mean regression theory is the theoretical representative of the predictable long-term return.
In the 80s of the last century, Western statisticians began to pay attention to the existence of a large number of mean regression phenomena in the stock market. After that, many foreign scholars studied the representative stock market in the world, hoping to draw a theory that can guide investment by studying this characteristic. The development time of China's stock market is relatively short, There are few studies on mean regression. This paper hopes to find out whether the mean return, and the cycle of mean regression, will lay a foundation for the further study of the Chinese stock market through empirical study on the yield of China's stock market.
On the basis of mean regression, this paper first systematically discusses the brief history of the development of stock investment theory, as well as the research and application of the domestic and foreign scholars on the mean regression of the stock market. Secondly, it introduces the definition of mean regression, the characteristics of mean regression, the practical significance and application of the mean return theory, and the mean return of the time series. Then, combining the characteristics of the mean regression theory and the actual situation of the Chinese stock market, we select the Shanghai stock index, the Shenzhen stock index, the A shares of the Shanghai stock market, the B-share of the Shanghai stock market, and the daily returns of the industry plates. First, the ADF method is used to test the stability of the time series, and the mean regression of the time series is examined by the method of autocorrelation test. The results show that there are many mean reversion phenomena in China's stock market, which provides convenience for the research and practical application of mean regression theory.

【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

【参考文献】