中国股票市场的基本面与技术面联合估价研究

发布时间：2019-05-06 08:58

【摘要】：上市公司的股价是如何决定的，和哪些因素具有相关关系，这个问题一直受到国内外学术界和投资界的广泛关注。对于股票价格的分析，以往存在强调研究公司状况的基本面流派和重在研究过往交易数据时间序列的技术面流派，两者各有侧重。基本分析能够比较全面地把握公司的经营状况和证券的内在价值，但是存在滞后以及对市场价格预测的精度相对较低。技术分析可以比较准确的把握股票的价格趋势，但是没有考虑市场行为背后的成因。因此，需要将基本分析和技术分析综合起来进行股票估价，才能既保留技术分析的优点，又考虑基本因素的影响。本文首先提出基本面估价模型和技术面估价模型，借鉴Bettman（2009）的方法将二者结合起来建立基本面-技术面估价模型。再探讨中国股票市场中影响股票市场价格的非流通股因素和新股股价虚高因素，将这些因素引入上述估价模型。最后，选取A股2002年至2011年全部公司作为研究样本，来探讨在中国股票市场中基本面与技术面联合估价模型是否能提高股价解释力度。结果显示：基本分析和技术分析对股价有增量解释作用，即基本面-技术面估价模型对股价的解释能力优于二者各自的估价模型。并且本文引入的两个特质因素对股票的影响也是显著的，说明投资者在进行投资决策的时候需要考虑公司非流通股比例和二级市场的新股炒作。总体来说，综合基本面因素和技术面因素的估价模型在中国股票市场可以更好的分析股票价格。
[Abstract]:How to determine the stock price of listed companies, and which factors are related, this issue has been widely concerned by both domestic and foreign academic and investment circles. For the analysis of stock price, there are two schools in the past, one is the fundamental school that emphasizes the research of the company's condition, and the other is the technical school, which focuses on the time series of the past trading data, both of which have their own emphasis. The basic analysis can fully grasp the company's operating condition and the intrinsic value of securities, but there is lag and the accuracy of market price prediction is relatively low. Technical analysis can accurately grasp the stock price trend, but does not consider the causes behind the market behavior. Therefore, it is necessary to combine the basic analysis and the technical analysis to evaluate the stock in order to retain the advantages of the technical analysis and consider the influence of the basic factors. In this paper, the fundamental evaluation model and the technical evaluation model are put forward firstly, and the fundamental-technical evaluation model is established by using the method of Bettman (2009) for reference. Then we discuss the non-tradable factors and the imaginary high factors which affect the price of Chinese stock market and introduce these factors into the above-mentioned valuation model. Finally, all A-share companies from 2002 to 2011 are selected as research samples to explore whether the combination of fundamental and technical valuation model can improve the interpretation of stock price in Chinese stock market. The results show that the basic analysis and technical analysis can explain the stock price incrementally, that is, the interpretation ability of the fundamental-technical evaluation model is better than their respective valuation models. And the two characteristic factors introduced in this paper also have a significant impact on the stock, indicating that investors need to consider the proportion of non-tradable shares and the new stock speculation in the secondary market when making investment decisions. Generally speaking, the valuation model of fundamental factors and technical factors can better analyze the stock price in Chinese stock market.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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