我国四大行业股票价格决定模式研究

发布时间：2019-03-04 16:01

【摘要】：从上海和深圳证券交易所先后成立以来，中国的证券市场得到快速发展,对证券交易的参与者和研究证券的学者而言，一个共同的问题是股票价格的波动：它是由哪些因素影响或者决定的，这些因素是如何影响价格的，在诸多因素中，哪些因素是起主要甚至决定作用的。这些问题在以往的研究中有过不同角度的探讨，，这中间有一个共同认知，就是信息对股票价格波动的影响是显著的。而在股票市场上我们经常可以看到一个行业的股票出现齐涨共跌的现象，说明股票价格波动存在行业因素，投资者选择股票的时候要充分考虑到行业风险。首先，本文介绍了有效市场假说和股票定价的相关理论，并对现有股票定价模型进行比较分析，结合我国实际情况，最终选择多元线性回归模型进行研究。其次，就数据来源及模型构建、检验进行了说明，选取2011年1月2日到2012年4月27日的F10信息，选取其中的六大类指标为数据基础，在对原始数据进行处理、整理之后进行分析。并说明模型的检验及最优模型的选择。然后，对四个行业的股票价格据定模式进行分行业的分析，之后结合行业特征对行业间的差异进行比较分析，研究结果表明，四个行业的股票价格决定模式很好的反应了本行业的特征：银行业股票价格主要受到净资产和未分利润的影响，资产类数据是价格波动的主要因素；钢铁行业受到未来收益预测的影响较大；煤炭行业在收到未来预期的影响的同时受到股东结构的影响也较为突出；酿酒行业受到收益的影响较大，包括历史数据和预期收益。最后，基于研究结果对股票市场参与者提出相关建议，并对本文的不足之处提出展望。
[Abstract]:Since the establishment of the Shanghai and Shenzhen Stock exchanges, China's stock market has developed rapidly. For participants in securities trading and scholars studying securities, A common problem is the volatility of the stock price: which factors affect or determine the price, how these factors affect the price, among many factors, which factors play a major or even decisive role. These problems have been discussed from different angles in previous studies, and there is a common understanding that the effect of information on the volatility of stock prices is significant. In the stock market, we can often see the stock in an industry rise and fall phenomenon, indicating that there are industry factors in the volatility of stock prices, investors should take full account of industry risks when choosing stocks. Firstly, this paper introduces the efficient market hypothesis and the related theory of stock pricing, compares and analyzes the existing stock pricing models, and finally chooses the multiple linear regression model to study the actual situation of our country. Secondly, the source of the data and the model construction, test is described, the F10 information from January 2, 2011 to April 27, 2012 is selected, and six kinds of indicators are selected as the data basis, and the original data is processed. Organize and analyze. The test of the model and the selection of the optimal model are also explained. Then, the paper analyzes the stock price of the four industries according to the fixed model, and then compares and analyzes the differences between the industries according to the characteristics of the industry. The results of the study show that the stock prices of the four industries are different from each other. The stock price determination model of four industries reflects the characteristics of the industry well: the stock price of banking industry is mainly affected by net assets and undivided profits, and asset data is the main factor of price fluctuation; The iron and steel industry is greatly affected by the future earnings forecast; the coal industry is influenced by shareholders' structure while receiving the expected future; and the wine industry is greatly affected by the revenue, including historical data and expected returns. Finally, based on the research results, some suggestions are put forward for the participants in the stock market, and the shortcomings of this paper are prospected.
【学位授予单位】：燕山大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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