股票市场深度与日内价格变动的相关性研究

发布时间：2018-01-18 01:23

本文关键词：股票市场深度与日内价格变动的相关性研究　出处：《哈尔滨工业大学》2013年硕士论文　论文类型：学位论文

【摘要】：股票行情软件实时公布了最新的盘面信息，市场深度（Market Depth）是反映盘面信息的重要因素之一，是投资者选择提交何种交易指令的重要参考依据。有关于股票市场深度不均衡和日内价格变动之间的关系，一般认为当买方深度较卖方深度厚时，价格是上升的，即价格向市场深度较薄的一方运动。而有经验的投资者则持相反观点，认为卖方深度较买方深度厚时，股票价格上升。本文的核心是通过实证研究证明市场深度不均衡与日内价格变动这二者之间到底存在何种相关关系。本文在总结回顾国内外研究现状的基础上，从理论研究详尽探讨了市场深度的改变对投资者指令选择的影响，结果表明随着己方市场深度的加厚，己方投资者更倾向于发出市价指令。同时探讨了投资者发出的不同类型的指令对股票价格变动的影响，结果表明卖方（买方）指令可以直接或间接地促使股票价格下跌（上涨）。在实证研究中，本文以2011年3月1日至2012年2月29日的沪深300股指期货（以下简称CSI300股指期货）主力合约为研究样本，首先构建回归模型和向量自相关模型（Vector Auto-regression Model，VAR）证明了市场深度不均衡与日内价格变动之间存在正相关关系，即当卖方深度较买方深度厚时，价格上升。同时，实证结果还表明收益率对市场深度存在单向引导关系，本文从投资者流动性需求的角度给出了合理性解释。其次通过实证研究分析了市场深度的指令流的影响。根据是否能引起中间价格变化，将市价指令细分为积极的市价指令和消极的市价指令，将限价指令细分为价差指令和指令簿指令。在此基础上，，构建二元选择模型分析了市场深度不均衡加剧（卖方深度较买方深度加厚）对投资者指令选择的影响。结果表明，随着卖方深度较买方市场深度加厚，买方投资者更倾向于发出积极的市价指令、消极的市价指令和价差指令，卖方投资者更倾向于发出指令簿指令，这与理论研究的结论不同，本文从信息不对称的角度给出了合理性解释。同时，构建多元回归模型分析了委托买卖不均衡对收益率的具有多大的解释力，结果表明，大约50%的收益能通过四类指令不均衡来解释。
[Abstract]:Real time stock quotes software released the latest information on disk, the depth of the market (Market Depth) is one of the important factors to reflect the disk information, is an important reference for investors to choose according to what trading directive. About the relationship between stock market depth is not balanced and the days of price changes, it is considered that when the buyer seller depth is the depth thick when the price is rising, the price to the market depth of thin side movement. The experienced investors took the opposite view, that the seller buyer depth depth is thick, the stock price rises. The core of this paper is to present what kind of relationship through the empirical study proves that the market is not balanced with the depth of days changes in the price of the two.
Based on the review of domestic and foreign research status, from the theoretical study to investigate the effect of detailed market depth change for investors instruction selection, the results show that with its own market depth thickened, investors tend to a market order. And discusses the different types of investors issued instructions on the impact of stock price changes, the results show that the seller (buyer) instructions can be directly or indirectly contributed to stock prices (up).
In the empirical study, this paper from March 1, 2011 to February 29, 2012 in Shanghai and Shenzhen 300 stock index futures (hereinafter referred to as the CSI300 stock index futures) futures contract as the research sample, firstly build the regression model and vector autoregressive models (Vector Auto-regression, Model, VAR) proved that there was a positive correlation between the market depth is not balanced with the days when the price changes the seller buyer depth depth is thick, the price rise. At the same time, the empirical results also show that the rate of return on the market depth of Granger causality, this paper gives a reasonable explanation from the perspective of investor's liquidity demand.
Secondly, market depth change instruction flow are analyzed by empirical research. According to whether can cause the middle price changes, the market order is divided into market order positive and negative market orders, limit orders will be divided into instruction and instruction book spread instruction. Based on the analysis of the construction of the depth of the market imbalance two Yuan choice (the buyer seller model depth is the depth thickening) impact on investor instruction selection. The results showed that with the seller's buyer's market depth is the depth of the thickened, investors tend to send positive market orders, market orders and negative spread instruction, investors are more inclined to the seller sends out the instruction book instruction, which is different from the conclusion of theory research in this paper, a reasonable explanation from the view of information asymmetry. At the same time, the construction of multivariate regression model to analyze the orderflow not balanced on the yield of With many interpretations, the results show that about 50% of the income can be explained by the disequilibrium of the four classes of instructions.

【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【相似文献】