本文關(guān)鍵詞： 股價指數(shù) 結(jié)構(gòu)方程 均衡分析 誤差修正模型　出處：《哈爾濱工業(yè)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著中國經(jīng)濟的高速發(fā)展帶動的需求增多，中國的股票市場發(fā)展迅速，，并在資本市場扮演了重要角色，對國民經(jīng)濟的影響力日趨重要。然而股票市場作為一個復(fù)雜系統(tǒng)，對股票市場的研究面臨兩個主要問題，一是基于歷史數(shù)據(jù)的股價波動研究面臨數(shù)據(jù)的時滯性和波動的無規(guī)則性問題，另一個是對股票市場影響因素的研究發(fā)現(xiàn)各類復(fù)雜因素如經(jīng)濟形勢、貨幣供給、利率、通貨膨脹率、經(jīng)濟政策等經(jīng)濟變量對股票指數(shù)的影響存在傳導(dǎo)的不確定性，而且這種傳導(dǎo)帶來的不確定性在發(fā)展中國家尤為顯著。針對這一現(xiàn)象，部分學(xué)者通過加入實時新聞、評論等數(shù)據(jù)提高了對股票市場的預(yù)測準確性，也有學(xué)者根據(jù)經(jīng)濟學(xué)理論消費需求是影響價格波動的最主要因素提出，從投資者投資行為趨勢的角度分析消費需求變化和價格指數(shù)波動將有助于研究發(fā)展。隨著信息網(wǎng)絡(luò)技術(shù)的發(fā)展，搜索引擎逐漸成為信息查詢的主流途徑之一，互聯(lián)網(wǎng)用戶基于搜索引擎的信息查詢行為中蘊含的行為和決策信息以及對其心理和行為趨勢的表達能力受到更多關(guān)注。Google等搜索引擎關(guān)鍵詞關(guān)注度指數(shù)應(yīng)用工具的發(fā)布，可以有效快捷的幫助研究者挖掘互聯(lián)網(wǎng)用戶搜索行為中蘊含的行為和決策信息。 隨著2005年中國股權(quán)分置改革的展開，需求對股價指數(shù)波動的影響作用日趨重要，因此本文結(jié)合股票市場的研究需求和搜索引擎的環(huán)境背景，將從通過分析用戶需求決策行為趨勢預(yù)測股票市場的價格波動的角度出發(fā)，首先分析信息查詢行為與用戶需求的關(guān)系模型，并根據(jù)股票市場的相關(guān)理論和基于搜索引擎的信息查詢行為特點建立基于搜索引擎的股票市場相關(guān)信息查詢模型，然后使用結(jié)構(gòu)方程模型分析和驗證用戶關(guān)于股票市場相關(guān)信息的搜索與股價指數(shù)的結(jié)構(gòu)關(guān)系，使用協(xié)整分析和誤差修正模型相結(jié)合的方法研究基于搜索引擎的搜索關(guān)注度指數(shù)分析股價指數(shù)的長期均衡和短期波動。研究發(fā)現(xiàn)，股票市場相關(guān)的搜索關(guān)注度指數(shù)對股價指數(shù)的長期均衡有較強的表達能力，對成交量的短期波動亦有較好的預(yù)測能力。 本文的研究將有助于擴展對信息查詢行為和股票交易等的研究視角，驗證互聯(lián)網(wǎng)用戶基于搜索引擎的信息查詢行為對現(xiàn)實市場的表達能力，并為股票投資者、上市公司和相關(guān)管理部門提供參考意見。
[Abstract]:With the increasing demand driven by the rapid development of China's economy, the stock market in China has developed rapidly and played an important role in the capital market, and its influence on the national economy has become increasingly important. However, as a complex system, the stock market is a complex system. There are two main problems in the research of stock market. One is the research of stock price volatility based on historical data. Another is the study of the influencing factors of the stock market. It is found that the influence of economic variables such as economic situation, money supply, interest rate, inflation rate, economic policy and other economic variables on the stock index is uncertain. And the uncertainty caused by this transmission is particularly significant in developing countries. In response to this phenomenon, some scholars have improved the accuracy of stock market forecasts by adding real-time news, reviews, and other data. According to economic theory, some scholars also put forward that consumption demand is the most important factor affecting price fluctuations. Analyzing the change of consumer demand and the fluctuation of price index from the angle of investor's investment behavior trend will be helpful to the research and development. With the development of information network technology, search engine is becoming one of the mainstream ways of information query. The behavior and decision information contained in the information query behavior of Internet users based on search engines, as well as the ability to express their psychological and behavioral trends have attracted more attention. Google and other search engine keyword attention index application tools have been published. It can effectively and quickly help researchers to mine the behavior and decision information contained in the search behavior of Internet users. With the development of China's split share structure reform in 2005, the influence of demand on stock price index fluctuation is becoming more and more important, so this paper combines the research demand of stock market and the environment background of search engine. From the perspective of forecasting the price fluctuation of stock market by analyzing the trend of user demand decision behavior, the relationship model between information query behavior and user demand is analyzed. According to the relevant theory of stock market and the characteristics of information query behavior based on search engine, a search engine based information query model for stock market is established. Then using the structural equation model to analyze and verify the structural relationship between the search of the relevant information about the stock market and the stock price index. Using the method of cointegration analysis and error correction model, this paper studies the long-term equilibrium and short-term volatility of stock price index based on search focus index based on search engine. The search concern index of stock market has a strong ability to express the long-term equilibrium of stock price index, and it also has a good ability to predict the short-term fluctuation of trading volume. The research in this paper will be helpful to expand the research perspective of information query behavior and stock trading, to verify the ability of Internet users to express the information query behavior based on search engine to the real market, and to be a stock investor. Listed companies and relevant management departments to provide reference.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F713.5;F832.51;F224

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本文編號：1505909