空间距离对股票价格联动效应的影响

发布时间：2018-04-07 18:18

本文选题：空间距离　切入点：区域联动　出处：《华东理工大学》2017年硕士论文

【摘要】：随着我国的股票市场逐渐走向成熟,股市已经成为金融资源配置的一个十分重要的渠道。但是我们还是可以看到,我国股市的股价联动现象是十分显著,所谓股票价格的联动效应,就是在同一个时段内股票价格出现同涨同跌的现象。迄今为止,学术界对中国股市区域联动效应方面已经有了深入的研究,本文在吸取前人研究成果的基础上把采用上市公司总部所在地的空间距离作为区域的划分标准来其研究股票价格的联动效应的影响。本文主要是通过三个部分的实证分析来研究距离对股票价格联动和股票价格同步的影响。第一部分用空间距离作为证券组合的划分依据,分析了股票与一定区域内单支股票价格与证券组合是否具有联动效应,结果说明该联动效应显著存在,并且距离与这种联动效应是呈现负相关的关系。实证的第二部分延续了第一部分的模型,以市场状态作为时间的划分依据,将整个样本期间划分为牛市、熊市、震荡期三个期间进行研究,结果表明不论市场是处于哪个时期,目标股票和区域内其他股票的联动效应都是存在的,但是市场处于不同的行情的情况下,这种联动效应的强弱也会随之发生变化,市场处于熊市的时候这种联动效应是最强烈的。实证第三部分采用了更加直观的分析方法,将股票与股票之间的收益率与两家公司总部之间的空间距离直接关联起来,结果表明距离对两支股票价格的同步性是有存在显著负相关性的,同时我们还发现省份因素、金融中心的因素也促进了股票价格之间的同步性。
[Abstract]:With the maturity of stock market in China, stock market has become a very important channel for financial resources allocation.However, we can still see that the stock price linkage is very significant in our country. The so-called stock price linkage effect is the same rise and fall of the stock price in the same period of time.Up to now, academic circles have made in-depth research on the regional linkage effect of China's stock market.Based on the previous research results, this paper uses the spatial distance of the headquarters of the listed company as the criterion of regional division to study the influence of the linkage effect of stock price.This paper mainly studies the influence of distance on stock price linkage and stock price synchronization through three parts of empirical analysis.In the first part, the spatial distance is used as the basis for the division of the securities portfolio, and the paper analyzes whether the stock price and the portfolio have a linkage effect with a certain region. The results show that the linkage effect exists significantly.And the distance is negatively related to the linkage effect.The second part of the empirical model continues the first part of the model, taking the market state as the basis for the division of time, the entire sample period is divided into three periods: bull market, bear market, and shock period. The results show that no matter what period the market is in,The linkage effect of the target stock and other stocks in the region exists, but when the market is in a different market, the strength of the linkage effect will also change.The linkage is strongest when the market is in a bear market.The third part of the empirical analysis adopts a more intuitive analysis method, which directly relates the return rate between stock and stock and the spatial distance between headquarters of the two companies.The results show that the distance has a significant negative correlation with the synchronicity of the two stock prices. At the same time, we also find that the provincial factors, the financial center factors also promote the synchronism between the stock prices.
【学位授予单位】：华东理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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