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  本文選題：量價關(guān)系　切入點：成交量　出處：《東北財經(jīng)大學(xué)》2011年碩士論文

【摘要】：量價關(guān)系理論一直是金融領(lǐng)域研究的熱點課題之一。成交量作為股票市場中一個比較重要的變量,不僅能反映股票市場中的供求關(guān)系,還能預(yù)測股價的變動。量價關(guān)系作為股票市場分析的重要部分,對指導(dǎo)廣大投資者的投資行為具有深遠(yuǎn)的影響,本文所研究的內(nèi)容就是股價與成交量之間相互作用的關(guān)系,量價關(guān)系的研究對監(jiān)管者和投資者進(jìn)行趨勢分析具有重要意義。 全文以滬深股票市場為研究對象,采用描述統(tǒng)計和實證分析相結(jié)合的方法,從成交量的內(nèi)在結(jié)構(gòu)、成交量與價格變動之間的相關(guān)關(guān)系和成交量與市場波動間的動態(tài)關(guān)系等角度,詳細(xì)地揭示了我國證券市場的量價關(guān)系特征。本文的研究目的是通過中國股市的最新成交量和股價數(shù)據(jù)資料,全面系統(tǒng)的對中國股市量價及其波動性關(guān)系進(jìn)行實證研究,根據(jù)實證結(jié)果,對中國股市的發(fā)展做出評價和提出相應(yīng)的政策建議。全文共分為五章。第一章是導(dǎo)論部分,主要對本文的選題背景、研究意義、研究內(nèi)容和研究方法等做了簡要地介紹；第二章是研究綜述,闡述和回顧量價關(guān)系的理論基礎(chǔ)及國內(nèi)外研究現(xiàn)狀,為后文的分析奠定良好的理論基礎(chǔ)：第三章是量價因果關(guān)系研究,全面分析了股價波動和成交量序列之間的靜態(tài)和動態(tài)相關(guān)關(guān)系。首先,分析了收益率和成交量的均值、標(biāo)準(zhǔn)差、偏度、峰度等基本統(tǒng)計特性；其次,在將成交量分解為預(yù)期成交量和非預(yù)期成交量的基礎(chǔ)上,更加深入地分析了股價波動及各類成交量的自相關(guān)性和平穩(wěn)性；最后,在上文研究的基礎(chǔ)上,探討了各類成交量與股價波動之間的動態(tài)Granger因果關(guān)系；第四章是基于ARCH模型的量價波動性關(guān)系研究,重點利用非對稱EGARCH和TARCH模型對我國滬深股票市場成交量與股價之間的條件波動性做了比較細(xì)致地研究,并對研究結(jié)果做了詳細(xì)地解釋說明；第五章是結(jié)論和政策建議。對全文的研究進(jìn)行總結(jié),并在此基礎(chǔ)上針對中國股市如何健康平穩(wěn)的發(fā)展提出建議。 通過對中國股市量價關(guān)系全面系統(tǒng)的分析,得出結(jié)論：中國股票市場上成交量和股價之間存在顯著的正相關(guān)關(guān)系；中國股票市場的收益率波動存在十分顯著的集聚性和持久性；成交量中的非預(yù)期交易量是引起股價波動的主要原因,說明中國股票市場上成交量在某種程度上確實能反映股價的變化,為股票市場研究提供了較大的幫助；我國股市中股價的波動存在顯著的杠桿效應(yīng),即利空消息對股市波動的作用要顯著大于同等程度下利好消息對股市波動的作用。 本文創(chuàng)新之處在于：數(shù)據(jù)選取較新,能夠較好地反映目前中國股票市場上的量價關(guān)系；在將成交量分解為預(yù)期成交量和非預(yù)期成交量的基礎(chǔ)上,將各類成交量分別作為外生變量加入到EGARCH和TARCH模型中進(jìn)行分析,不但能夠?qū)Ρ雀黝惓山涣繉蓛r波動的影響大小,而且還可以對比EGARCH和TARCH模型對同一時間序列數(shù)據(jù)擬合效果的優(yōu)劣；從兩個不同的角度研究了中國股票市場的量價關(guān)系,即使用格蘭杰方法檢驗了量價之間的因果關(guān)系；又運用ARCH族模型從量的角度更加深入地分析成交量對收益率及股價波動的影響大小。 本文不足之處在于：由于中國股票市場起步較晚、發(fā)展不穩(wěn)定,而且國家宏觀調(diào)控也會影響到股票市場的表現(xiàn),加上所選用的研究方法及樣本容量的不同,這些因素都會最終影響到研究結(jié)果。運用EGARCH和]TARCH模型進(jìn)行的實證過程通常對樣本容量有很高的要求,而本文的研究過程僅利用了1261個日樣本數(shù)據(jù),這就有可能造成研究結(jié)果的不確定性：影響股價的因素是多種多樣的,加上美國次貸危機(jī)對全球金融市場的沖擊,更加增加了股票市場中股價的波動,同時,中國為了應(yīng)對這種危機(jī)所制定的一系列政策諸如匯率的調(diào)整,在一定程度上也會提高股票市場的波動性。本文僅從成交量方面探討股票市場波動性,具有一定的片面性。
[Abstract]:The relationship between volume and price theory has been one of the hot topics in the field of finance. The stock market turnover as one of the most important variables in the stock market can not only reflect the relationship between supply and demand, but also predict the stock price. Analysis of the relationship between volume and price is an important part of the stock market, has a far-reaching influence on the investment behavior of investors guide the relationship and interaction between the content of this paper is to study the stock price and trading volume, price volume relation of regulators and investors for trend analysis has important significance.
According to the Shanghai and Shenzhen stock market as the research object, using the method of describing statistical analysis and empirical combination, from the internal structure of the volume, the angle between the volume and price changes of the relationship between trading volume and market volatility and the dynamic relationship between detail, reveals the relationship between volume and price characteristics of China's securities market. The purpose of this study is the latest China stock market trading volume and stock price data, a comprehensive system of Chinese stock market volatility between volume and price for empirical research, according to the empirical results, the development of the stock market China make evaluation and put forward corresponding policy recommendations. This paper is divided into five chapters. The first chapter is the introduction part, mainly to this article the background, research significance, research content and research methods are briefly introduced; the second chapter is the research summary, elaboration and review the relationship between volume and price theories in China and abroad Study on the status quo, which lay a good theoretical foundation for later analysis: the third chapter is to study the causal relationship between volume and price, comprehensive analysis between stock price volatility and trading volume series of static and dynamic correlation analysis. First, the average rate of return and the volume of the standard deviation, skewness, kurtosis and other basic statistical characteristics; secondly, in the volume is decomposed into expected and unexpected trading volume on the more in-depth analysis of the self correlation and the stability of the stock price volatility and trading volume of all kinds; finally, on the basis of the above, probes into the types of volume and price volatility Granger causality; the fourth chapter is to study the relationship between ARCH volume and price volatility based on the model, focusing on the use of asymmetric EGARCH and TARCH model of conditional volatility between China's Shanghai and Shenzhen stock market trading volume and stock price to do a more detailed study and The research results are explained in detail. The fifth chapter is the conclusion and policy recommendations. The research is summarized, and on this basis, suggestions for healthy and stable development of China's stock market are put forward.
Through the analysis of Chinese stock market price volume relationship systematically concluded: Chinese stock market between trading volume and stock price has a significant positive correlation; volatility of stock market Chinese is significant convergence and persistence; non expected trading volume in the volume is mainly caused by the fluctuation of stock price, that Chinese the stock market turnover can really reflect the changes in the stock prices to a certain extent, provide more help for the study on stock market; stock price volatility in China's stock market has significant leverage effect, namely eliminating bad effect information on the stock market volatility is significantly greater than the same degree of good news on the stock market volatility.
The innovations of this paper are: newer data selection can better reflect the current China on the stock market price volume; in the volume is decomposed into expected and unexpected trading volume on the various types of volume respectively as an exogenous variable is added to the EGARCH and TARCH model to analyze and compare various types of volume can not only impact on the stock price the size of the fluctuations, but also the comparison between EGARCH and TARCH model to the fitting effect of the same time series data; from two different perspectives on the relationship between price and volume China stock market, using the Grainger method to test the causal relationship between volume and price; and the use of the ARCH model from the perspective of quantity more deeply. Analysis of the influence of the turnover rate of return and volatility of the size.
The inadequacies of this article lies in: because the Chinese stock market started late, the development is not stable, and the national macro-control will also affect the performance of the stock market, the research method and sample size with the select of the different, these factors will ultimately affect the results of the study. The empirical process using EGARCH and]TARCH model are usually high demands on the sample size, and the course of the study using only 1261 days of sample data, which may result in the uncertainty of research findings: the factors affecting the stock price is varied, with the U.S. subprime crisis on the global financial market shocks, more increase the price of the stock market fluctuations. At the same time, a series of policies Chinese in order to deal with the crisis developed such as the exchange rate adjustment, to a certain extent, will increase the volatility of the stock market. This paper only from the transaction amount The discussion of the volatility of the stock market has a certain one-sided nature.

【學(xué)位授予單位】：東北財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2011
【分類號】：F224;F832.51

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前1條

1 夏明磊;基于技術(shù)分析的股價波動和成交量相關(guān)性的實證研究[D];貴州財經(jīng)大學(xué);2013年

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本文編號：1713754