本文關(guān)鍵詞：基于分位數(shù)回歸的我國股市價(jià)量關(guān)系分析　出處：《蘭州商學(xué)院》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 分位數(shù)回歸 價(jià)量關(guān)系 上證綜指 深圳成指 創(chuàng)業(yè)板指數(shù)

【摘要】：股票市場中價(jià)格與交易量的關(guān)系一直是金融領(lǐng)域的重要話題。研究價(jià)量關(guān)系是了解金融市場結(jié)構(gòu)的一個(gè)途徑，也是研究市場有效性的重要方面。價(jià)量關(guān)系的研究對于認(rèn)識(shí)和理解股票本身、股票交易以及股票市場而言都是最為基礎(chǔ)也是最為重要的一個(gè)切入點(diǎn)。對于相對歷史較短且在特殊國情下產(chǎn)生、發(fā)展的中國股票市場而言，為了對其進(jìn)行全面深刻地認(rèn)識(shí)和理解，也必定離不開對價(jià)量關(guān)系的研究。 全文分為五章。第一章為引言，介紹了問題提出的背景及意義，分析總結(jié)了現(xiàn)有文獻(xiàn)對該問題的研究。第二章是關(guān)于價(jià)量關(guān)系一些理論模型的介紹。第三章是分位數(shù)回歸模型的介紹，，以及參數(shù)估計(jì)的方法和模型的檢驗(yàn)方法。第四章是價(jià)量關(guān)系的實(shí)證部分，也是文章的主體部分。用三種不同的形式對比分析了上證綜指、深圳成指和創(chuàng)業(yè)板指數(shù)收益率和成交量之間的差異。第五章為結(jié)語，概括了本文的分析結(jié)論，并提出相應(yīng)政策建議。 本文的研究結(jié)論表明，把分位數(shù)回歸這種方法運(yùn)用在分析價(jià)量關(guān)系上，可以更清楚地刻畫出在高價(jià)量去和低價(jià)量區(qū)成交量對收益率的影響，也更能詳盡的描述在不同階段收益率和成交量的變化差異。通過上證綜指、深圳成指和創(chuàng)業(yè)板指數(shù)的對比分析可以看出，大盤藍(lán)籌股和中小盤股在牛市和熊市的價(jià)量關(guān)系有著明顯的差異。
[Abstract]:The relationship between price and trading volume in stock market has been an important topic in the field of finance. Studying the relationship between price and quantity is a way to understand the structure of financial market. It is also an important aspect of the study of market efficiency. The study of the relationship between price and quantity is helpful to understand and understand the stock itself. Stock trading and stock market are both the most basic and the most important entry point. For the relatively short history and special national conditions, the development of China's stock market. In order to fully understand and understand it, it must be inseparable from the study of the relationship between consideration and quantity. The paper is divided into five chapters. The first chapter is the introduction, which introduces the background and significance of the question. The second chapter is about the introduction of some theoretical models of valorem relation. The third chapter is the introduction of quantile regression model. Chapter 4th is the empirical part of the relationship between value and quantity, which is the main part of the article. Three different forms of comparative analysis of the Shanghai Composite Index. Chapter 5th is the conclusion, which summarizes the conclusions of this paper and puts forward the corresponding policy recommendations. The conclusion of this paper shows that using the quantile regression method to analyze the relationship between price and quantity, we can more clearly describe the influence of turnover on the yield in the region of high price and low price. Through the Shanghai Composite Index, Shenzhen Composite Index and gem index of comparative analysis can be seen. Large-market blue chips and small-and medium-cap stocks in the bull market and bear market price-volume relationship has obvious differences.
【學(xué)位授予單位】：蘭州商學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F832.51

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前1條

1 盧世闖;我國創(chuàng)業(yè)板IPO定價(jià)合理性的實(shí)證研究[D];陜西科技大學(xué);2013年

本文編號(hào)：1396434