股票收益率日内模式研究

发布时间：2018-06-18 09:31

本文选题：股票收益率 + 市场微观结构　；参考：《天津财经大学》2013年硕士论文

【摘要】：自上海证券交易所和深圳证券交易所成立以来,中国证券市场已经经历了20多个年头。在这二十多年里,中国证券业取得了很大的发展,法律、法规制度变得健全起来,同时也遇到过各种困难。可以说中国证券市场一路走来,是相当地不易。中国股市是一个新型的市场,与国外成熟的资本市场相比,具有其独特的特点,比这些市场更加复杂,更加难以预测。中国股市在07年的牛市以后,经历了2008年的全球金融风暴的袭击,接着股市一路向下,上证指数一度跌破2000点,虽然过去四年了,但中国股市仍然不景气。市场微观结构理论作为现代金融学中一个重要的新型分支,在几次大的金融危机和震荡后,被越来越多的人所关注。市场微观结构理论重在研究金融市场资产的定价过程及其结果,从而揭示微观结构在金融资产价格形成的过程中的作用,其中存货模型和信息模型是该理论发展的两个阶段。股票收益率可以被定义为市场微观结构的特征变量,它已成为很多学者研究的对象。运用高频数据研究中国股市的收益率的日内模式,可以了解股票价格在完整的一个交易日内的收益率的变化情况,可以为投资者提供投资的建议和为政策制定者提供依据。所以股票收益率的日内模式研究具有现实意义。选取有代表性的126只股票,从2012年6月至2013年2月作为样本区间,以每30分钟的股票价格作为研究对象运用面板模型来研究中国股票收益率的日内模式,得出了我国股票市场日内模式为“W”型,即当期股票收益率与其前期收益率之间是负相关的。股市的日内模式表现形式很多,买卖价差和订单流不平衡作为两个新的因素被提出,随着电子信息网络的高速发展,这两个因素也能够通过证券市场的交易数据计算出来。这两个因素是如何对股票收益率的日内模式产生影响相信会成为一个热点。
[Abstract]:Since the establishment of Shanghai Stock Exchange and Shenzhen Stock Exchange, China's securities market has experienced more than 20 years. In the past twenty years, China's securities industry has made great progress, laws and regulations have become sound, but also encountered a variety of difficulties. It can be said that China's securities market has come all the way, is quite difficult. Chinese stock market is a new type of market. Compared with foreign mature capital market, Chinese stock market has its unique characteristics, more complex and more difficult to predict than these markets. After a bull run in 2007, after a global financial storm in 2008, the Shanghai stock index fell below 2000, but after four years, the Chinese stock market remained depressed. As an important new branch of modern finance, market microstructure theory has been paid more and more attention after several financial crises and shocks. The market microstructure theory focuses on the study of the pricing process and its results of the financial market assets, thus revealing the role of the microstructure in the formation of the financial assets price. The inventory model and the information model are the two stages of the development of the theory. Stock yield can be defined as the characteristic variable of market microstructure, which has been studied by many scholars. Using high-frequency data to study the intraday model of Chinese stock market yield, we can understand the change of stock price in a complete trading day, can provide investors with investment advice and provide basis for policy makers. Therefore, the study of the intraday model of stock return has practical significance. Select 126 representative stocks, from June 2012 to February 2013 as sample interval, take stock price every 30 minutes as the research object, use panel model to study the intraday model of Chinese stock yield. It is concluded that the intraday model of China's stock market is "W", that is, the current stock return is negatively correlated with its early return. There are many intraday modes in the stock market. As two new factors, the spread of buying and selling price and the imbalance of order flow are proposed. With the rapid development of electronic information network, these two factors can also be calculated through the trading data of the stock market. How these two factors affect the intraday model of stock returns is believed to be a hot spot.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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