基于序贯交易模型的股价波动分析

发布时间：2018-01-03 04:15

本文关键词：基于序贯交易模型的股价波动分析　出处：《昆明理工大学》2014年硕士论文　论文类型：学位论文

【摘要】：学术界对证券投资基金投资行为的研究始终保持高度的重视,本文将从跟随同类交易策略和跟随异类交易策略这一较新视角来研究证券投资基金的投资行为。已有文献的研究大多采用塞亚斯(2004)的序贯交易模型进行研究,把基金投资股票的跨期需求相关系数分解为隐性交易策略(自我策略)和羊群行为策略(跟随交易策略)这两部分。在本文中我们进一步把盲目跟风策略分解为跟随同类交易的策略和跟随异类交易的策略这两种交易策略,并分析这三个基金策略性交易行为的分解因素与股市波动的关系,用以探讨证券投资基金交易策略是否真正起到了稳定市场的作用。实证结果表明：(1)在序贯交易模型的截面估计结果及其系数分解中,我国开放式证券投资基金投资均有明显的跟随交易策略和隐性交易策略表现。证券投资基金投资有明显的策略性序贯交易或者是跟随交易行为。(2)在股票样本各种分类下需求跨期相关系数的分解中,羊群行为在投资较小和较大规模的上市公司股票以及在投资金融类和房地产类股票时才表现的更为显著。(3)在我国前九大基金管理公司中,投资者更倾向于跟随交易策略。基金公司以跟随交易策略为主;跟随同类交易策略和跟随异类交易策略都比较明显,其中,相对于其他策略而言,跟随异类交易策略占据绝对主导地位。(4)在股价波动与证券投资基金策略性交易相关系数的分解中,隐性交易策略在几个重要的季度里均能抑制股价的波动；而在其他季度里证券投资基金在策略性交易中跟随同类交易策略部分和跟随异类交易策略部分均对股价的波动起正向作用。(5)对模型进行全样本回归时,我们发现基金策略性交易行为的三个分解因素对规模最小、金融类和商业类的样本股票和牛市状态下的价格波动均具有显著的相关性。
[Abstract]:Study on the investment behavior of securities investment funds in academic circles has always maintained a high degree of attention, this article will follow the same investment behavior from trading strategies and follow a new perspective to study heterogeneous trading strategy of securities investment fund. The study of the existing literature mostly by Cejas (2004) studied the sequential trading model, the intertemporal demand the coefficient of fund investment stock is divided into implicit trading strategies (self strategy) and herding strategy (follow trading strategy) of the two part. In this paper we further to blindly follow the trend to follow the decomposition strategy similar transactions strategy and follow the trading strategies of the two kinds of different trading strategies, the relationship between factors and stock market volatility and analysis the three strategy fund transaction behavior, in order to explore the securities investment fund trading strategies really played a role in stabilizing the market.
The empirical results show that: (1) in the section of the sequential trading model estimation results and factor decomposition, obviously following trading strategies and investment strategies of implicit transaction are open securities investment fund in China. The securities investment fund investment has obvious strategy is to follow the sequential trading or trading behavior. (2) cross phase decomposition the correlation coefficient in the stock demand samples under various classification of herd behavior is reflected in the smaller and larger scale of investment shares of listed companies and real estate investment in financial and real stocks is more significant. (3) in our country before nine fund management companies, investors tend to follow the trading strategy fund. The company to follow the trading strategy; follow similar trading strategies and follow different trading strategies are obvious, which, compared with other strategies, follow different trading strategies occupy absolute dominance . (4) in the decomposition of stock price volatility associated with the securities investment fund strategic trading coefficient, implicit trading strategy can inhibit the stock in several important quarter fluctuations; while in the other quarter in the securities investment fund in the strategic trading trading strategy and follow similar trading strategies are to follow different price volatility has a positive effect. (5) the model of full sample regression, we found that the fund strategic trading behavior of the three factors on the decomposition of the minimum size and price fluctuations in the financial and business sample stocks and bull market conditions have a significant correlation.

【学位授予单位】：昆明理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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