本文關(guān)鍵詞： 價(jià)格聚類 傳統(tǒng)文化 交易規(guī)則 牛熊市　出處：《西南交通大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：某些數(shù)字在價(jià)格中出現(xiàn)頻率明顯高于其它一些數(shù)字出現(xiàn)頻率的現(xiàn)象被稱為價(jià)格聚類現(xiàn)象,它廣泛存在于各種金融市場(chǎng)中,既有理論多認(rèn)為其發(fā)生的直接原因在于人為偏差和投資者的有限理性,并形成吸引假說與價(jià)格談判假說等較完善的相關(guān)理論假說。吸引假說一般認(rèn)為數(shù)字發(fā)生聚類可能性從大到小依次是0,5,{2=8},{3=7,4=6},{1=9}；價(jià)格談判假說認(rèn)為,聚類程度一般與股票的價(jià)格水平、波動(dòng)性水平正相關(guān),而與股票的流動(dòng)性水平和公司規(guī)模負(fù)相關(guān)。 價(jià)格聚類是否廣泛且長期存在于中國股票市場(chǎng)?若存在,是否具有不同于其它市場(chǎng)的特征,是否能用既有假說加以解釋?本文以中國股市為研究對(duì)象,融入文化因素,并結(jié)合市場(chǎng)發(fā)展實(shí)際,詳細(xì)探討中國股票市場(chǎng)上的價(jià)格聚類現(xiàn)象。 研究發(fā)現(xiàn),中國股市中價(jià)格聚類確實(shí)廣泛且長期存在但并不完全服從吸引假說：與許多國外市場(chǎng)表現(xiàn)一致的是價(jià)格尾數(shù)一般在0處聚類最多,其次是5；但是最與眾不同之處在于“喜8惡4”且不同市場(chǎng)、板塊、股票種類和交易價(jià)格的聚類表現(xiàn)不盡一致。本文認(rèn)為尾數(shù)8高頻率而4低頻率現(xiàn)象就是中國傳統(tǒng)文化中對(duì)8喜愛而對(duì)4忌諱的充分顯現(xiàn)。 以價(jià)格談判假說所涉影響因素為基礎(chǔ),本文引入交易規(guī)則和牛熊市兩個(gè)市場(chǎng)整體影響因素以及中國五大傳統(tǒng)節(jié)日(春節(jié)、清明節(jié)、端午節(jié)、中元節(jié)和中秋節(jié))也作為影響因素,分市場(chǎng)、板塊、股票種類全面分析“喜8惡4”聚類現(xiàn)象。研究發(fā)現(xiàn)深交所的“8vs4”的聚類現(xiàn)象受上述因素的影響較上交所更明顯(特別是傳統(tǒng)節(jié)日的影響),對(duì)A股的影響要較B股明顯,傳統(tǒng)節(jié)日和牛熊市對(duì)主板和中小板市場(chǎng)的影響也存在顯著差異：A股較符合價(jià)格談判假說但B股卻不能用該假說很好地解釋；2006年7月1日新交易規(guī)則的實(shí)施使得聚類發(fā)生概率普遍降低；牛市時(shí)的聚類發(fā)生概率普遍高于熊市；傳統(tǒng)節(jié)日因素對(duì)該種聚類的顯著影響確實(shí)存在但并不普遍,相對(duì)來說在A股市場(chǎng)上的影響要比在B股市場(chǎng)上更普遍。 本文最后給出一個(gè)利用前文所研究的聚類現(xiàn)象可能進(jìn)行未來收益率預(yù)測(cè)的簡單模型,作為實(shí)際應(yīng)用的一個(gè)簡單嘗試。這使得本文的研究不僅豐富了價(jià)格聚類的研究,同時(shí)對(duì)投資決策制定等方面也具有積極的意義。
[Abstract]:The phenomenon that some numbers appear more frequently in the price than others is called price clustering phenomenon, which widely exists in all kinds of financial markets. Most of the existing theories think that the direct cause of its occurrence lies in the artificial deviation and the limited rationality of investors. The attractive hypothesis, the price negotiation hypothesis and the other relatively perfect related theoretical hypotheses are formed. It is generally believed that the probability of numerical clustering is 0 / 5, {2 / 8} and {3 / 7 / 4 / 6}, respectively. {1 / 9}; The price negotiation hypothesis holds that the clustering degree is generally positively correlated with the stock price level and volatility level, but negatively correlated with the stock liquidity level and firm size. Does price clustering exist widely and for a long time in Chinese stock market? If so, are they different from other markets and can they be explained by existing hypotheses? This paper takes the Chinese stock market as the research object, integrates the cultural factors, and discusses the price clustering phenomenon in the Chinese stock market in detail in combination with the market development practice. It is found that the price clustering in the Chinese stock market is indeed widespread and long-existing, but it is not completely satisfied with the attraction hypothesis: in accordance with the performance of many foreign markets, the price Mantissa is generally the most clustered at zero, followed by 5; But the most distinctive thing is that the "likes 8 and evil 4" and different markets, plates. This paper holds that the phenomenon of high frequency of Mantissa 8 and low frequency of 4 is the full manifestation of love of 8 and taboo of 4 in Chinese traditional culture. Based on the influencing factors of the price negotiation hypothesis, this paper introduces the trading rules and the overall influence factors of bull market and bear market, as well as the five traditional festivals of China (Spring Festival, Ching Ming Festival, Dragon Boat Festival). Ghost Festival and Mid-Autumn Festival) also as the influence factor, sub-market, plate. The study shows that the cluster phenomenon of "8vs4" in Shenzhen Stock Exchange is more affected by the above factors than by the Shanghai Stock Exchange (especially the influence of traditional festivals). The impact on A shares is more obvious than that on B shares, and there are significant differences between traditional festivals and bull bear markets on the main and small board markets: the A shares are more in line with the price negotiation hypothesis, but the B shares cannot be well explained by this hypothesis; In July 1st 2006, the implementation of new transaction rules reduced the probability of clustering. The probability of clustering in bull market is higher than that in bear market. The significant influence of traditional festival factors on the clustering is real but not universal, and it is more common in A-share market than in B-share market. At the end of this paper, we give a simple model to predict the future rate of return by using the clustering phenomenon studied in the previous paper. As a simple attempt of practical application, the research in this paper not only enriches the research of price clustering, but also has positive significance for investment decision making and so on.
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前8條

1 儀垂林,劉淄;上海股市法定節(jié)日及傳統(tǒng)節(jié)日效應(yīng)的實(shí)證研究[J];財(cái)經(jīng)科學(xué);2005年05期

2 饒品貴;趙龍凱;岳衡;;吉利數(shù)字與股票價(jià)格[J];管理世界;2008年11期

3 淳于松濤;楊春鵬;楊德平;;牛市熊市中機(jī)構(gòu)投資者的行為分析[J];青島大學(xué)學(xué)報(bào)(自然科學(xué)版);2007年01期

4 董大勇;鄭瑤;;利用價(jià)格聚類法對(duì)中國股票市場(chǎng)效率的考察[J];統(tǒng)計(jì)與決策;2006年06期

5 王冀寧,李心丹,盛昭瀚;證券投資者交易動(dòng)因的二元邏輯回歸建模的實(shí)證研究[J];系統(tǒng)工程理論與實(shí)踐;2003年09期

6 馬茲暉,李楚霖;證券市場(chǎng)兩分模型:貝葉斯估計(jì)[J];預(yù)測(cè);1999年03期

7 劉鳳元;;社會(huì)文化、數(shù)字偏好與股票報(bào)價(jià):中國股市的價(jià)格群集現(xiàn)象研究[J];中國軟科學(xué);2008年06期

8 劉衛(wèi)紅;;英漢數(shù)字的吉兇象征及其文化根源[J];鄭州航空工業(yè)管理學(xué)院學(xué)報(bào)(社會(huì)科學(xué)版);2006年05期

相關(guān)博士學(xué)位論文 前2條

1 江曉東;非理性與有限理性：中國股市投資者行為實(shí)證研究[D];廈門大學(xué);2004年

2 許香存;中國股市開收盤集合競價(jià)與連續(xù)競價(jià)交易機(jī)制的比較研究[D];電子科技大學(xué);2008年

相關(guān)碩士學(xué)位論文 前1條

1 邱凌;漢字中數(shù)字的文化研究[D];重慶師范大學(xué);2006年

，

本文編號(hào)：1446849