本文選題：分位數(shù)回歸 + 價(jià)量關(guān)系�。� 參考：《南京大學(xué)》2015年碩士論文

【摘要】：價(jià)格和成交量能最直接地反映股票市場(chǎng)的狀況,價(jià)量關(guān)系是我們了解股票自身、股票交易和股票市場(chǎng)都是一個(gè)重要的切入點(diǎn),同時(shí)也是了解金融市場(chǎng)結(jié)構(gòu)以及市場(chǎng)有效性的重要途徑。中國(guó)股票市場(chǎng)在一個(gè)特殊國(guó)情下產(chǎn)生,發(fā)展歷史較為短暫,要全面而深刻地了解它必定離不開(kāi)價(jià)量關(guān)系的研究。近期,為了進(jìn)一步推動(dòng)中國(guó)資本市場(chǎng)對(duì)外開(kāi)放,國(guó)家積極創(chuàng)造條件,建立了上海與香港股票市場(chǎng)的交易互聯(lián)互通機(jī)制(簡(jiǎn)稱滬港通)。在此背景下,研究滬港市場(chǎng)的價(jià)量關(guān)系對(duì)于滬港通的開(kāi)通具有重要的現(xiàn)實(shí)意義。本文主要討論的問(wèn)題有：價(jià)量關(guān)系相關(guān)理論、分位數(shù)回歸原理介紹以及價(jià)量關(guān)系的實(shí)證分析等。圍繞這些問(wèn)題,采用的研究方法和思路是：本文以滬港通為背景,以上海證券交易所和香港證券交易所為研究對(duì)象,以分位數(shù)回歸為主要研究方法,綜合分析A股市場(chǎng)和H股市場(chǎng)的成交量與收益率之間的關(guān)系,深層次剖析滬港兩地的價(jià)量關(guān)系特征。本文的主要研究結(jié)論：針對(duì)具有異方差性的數(shù)據(jù),分位數(shù)回歸比普通最小二乘回歸更加穩(wěn)健、有效；從整體來(lái)看,A股市場(chǎng)和H股市場(chǎng)的收益率和成交量之間呈正相關(guān)關(guān)系,即存在“量利齊揚(yáng)”和“量縮利減”的現(xiàn)象；通過(guò)對(duì)比上證滬股通指數(shù)和上證港股通指數(shù)的收益率和成交量分位數(shù)回歸系數(shù),發(fā)現(xiàn)港股通的回歸系數(shù)波動(dòng)較大,這意味著港股市場(chǎng)風(fēng)險(xiǎn)大于A股市場(chǎng)。
[Abstract]:Price and trading volume can most directly reflect the situation of the stock market. The relationship between price and quantity is the understanding of the stock itself. Stock trading and stock market are both an important entry point.At the same time, it is also an important way to understand the structure of financial markets and market effectiveness.The stock market of China is produced under a special national condition, and its history of development is relatively short. If we want to fully and profoundly understand it, we must be inseparable from the study of the relationship between price and quantity.Recently, in order to further promote the opening up of China's capital market, the state has actively created the conditions for the establishment of a trading interconnection mechanism between Shanghai and Hong Kong stock markets (referred to as the Shanghai-Hong Kong Stock Connect).Under this background, it is of great practical significance to study the relationship between the price and quantity of Shanghai and Hong Kong market for the opening of Stock Connect between Shanghai and Hong Kong.The main problems discussed in this paper are: the theory of valence and quantity relation, the introduction of quantile regression principle, and the empirical analysis of the relationship between price and quantity.Around these problems, the research methods and ideas are as follows: this paper takes the Stock Connect of Shanghai and Hong Kong as the background, the Shanghai Stock Exchange and the Hong Kong Stock Exchange as the research objects, and the quantile regression as the main research method.This paper comprehensively analyzes the relationship between trading volume and yield in A-share market and H-share market, and deeply analyzes the characteristics of price-volume relationship between Shanghai and Hong Kong.The main conclusions of this paper are as follows: for the data with heteroscedasticity, quantile regression is more robust and effective than ordinary least square regression.That is to say, there are the phenomena of "Quantile Liqiyang" and "reduction of interest in quantity". By comparing the return rate of Shanghai Stock Connect Index with Shanghai Stock Connect Index and the regression coefficient of turnover quantile, it is found that the regression coefficient of Hong Kong Stock Connect fluctuates greatly.This means that the Hong Kong stock market risk is greater than the A-share market.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類號(hào)】：F832.51;F224

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