本文選題：區(qū)制機制轉換對數(shù)正態(tài)模型 + Wilcoxon秩和檢驗�。� 參考：《華東師范大學》2013年碩士論文

【摘要】：在股票價格服從對數(shù)正態(tài)分布,波動率為常數(shù)的假設下,本文對股市建立區(qū)制機制轉換對數(shù)正態(tài)模型。本文先對該模型進行理論推導,用極大似然法對其六個參數(shù)進行估計并給出貝葉斯估計的初步簡略方法思考。實證中對中美兩國股市應用該模型刻畫,以中國上證綜指和美國SP500指數(shù)為代表,考慮了兩國在股市平穩(wěn)期和變動期兩區(qū)制機制下,股指和股息率的變動情況,指出變動因素對于兩國股市的影響結果截然不同。股息率對于股市整體的依賴程度在兩國的證券市場也是有所差異。 本文接著對我國上市公司分紅的結構性問題進行進一步統(tǒng)計性分析描述,指出我國股市相比于其他發(fā)達市場,股指高收益率和高波動率并存的現(xiàn)象。本文在分析現(xiàn)金紅利派放情況時,通過市盈率、股價現(xiàn)金流比率指出股價過高是導致我國股息率的偏低的重要原因,股息率和股息支付率兩者同時偏低的根本原因在于我國上市公司整體盈利能力較弱。這也導致對經(jīng)濟環(huán)境依賴程度較高,使得在2008年受美國次貸金融危機影響下,股息發(fā)放穩(wěn)定性普遍不強。股息穩(wěn)定性的刻畫是從歷史分紅公司占比和連續(xù)五年分紅公司占比等指標說明我國雖然股息發(fā)放穩(wěn)定性不如發(fā)達市場,但已經(jīng)日趨良好有很大的改善。然后本文從投資者角度以平均持股期限、數(shù)量和市值三個指標,使用非參數(shù)檢驗方法Wilcoxon秩和檢驗對新老投資者在投資高分紅公司、分紅公司和不分紅低分紅公司的投資意愿上做統(tǒng)計性檢驗,指出高水平持續(xù)穩(wěn)定的分紅確實可以達到吸引投資者進行價值投資。 文章最后簡要分析我國證券市場信息系統(tǒng)的發(fā)展對投資者選股策略產(chǎn)生一定影響,這進而也影響了價值投資策略在我國股市的推廣,文末附加了對中小投資者信息來源和使用情況的問卷調查。
[Abstract]:Under the assumption that the stock price is from the logarithmic normal distribution and the volatility is constant, this paper establishes a logarithmic normal model for the regional mechanism of the stock market. This paper first deduces the model theoretically, estimates its six parameters by maximum likelihood method, and gives a brief method of Bayesian estimation. This model is used to depict the stock markets of China and the United States. Taking the Shanghai Composite Index of China and the SP500 Index of the United States as the representatives, this paper considers the changes of stock index and dividend yield in the two countries under the bizonal system of stable period and changing period of stock market. Pointed out that the impact of factors on the stock market in the two countries, the results are very different. The degree of dependence of the dividend yield on the stock market as a whole is also different between the two countries. This paper then makes a further statistical analysis and description of the structural problems of dividend distribution of listed companies in China, and points out the coexistence of high yield and high volatility in China's stock market compared with other developed markets. This paper analyzes the distribution of cash dividend, points out that the high stock price is an important reason for the low dividend rate of our country through the price-earnings ratio and the cash flow ratio of the stock price. The fundamental reason for the low dividend rate and dividend rate is that the overall profitability of listed companies in China is weak. This has also led to a high degree of dependence on the economic environment, making dividend payments generally less stable in the face of the U.S. subprime financial crisis in 2008. The description of dividend stability is that the proportion of dividend companies in history and the proportion of dividend companies in five consecutive years show that although the stability of dividend distribution in China is not as stable as that in developed markets, it has been improved greatly. Then from the investor's point of view, this paper uses the non-parametric test method Wilcoxon rank sum test to analyze the new and old investors investing in high-dividend companies with three indexes: average duration, quantity and market value. Statistical tests are made on the investment intention of dividend companies and non-dividend companies. It is pointed out that a high level of sustained and stable dividends can indeed attract investors to invest in value. Finally, the paper briefly analyzes the influence of the development of stock market information system on investors' stock selection strategy, which in turn affects the promotion of value investment strategy in China's stock market. At the end of this paper, the author appends a questionnaire to the information source and usage of small and medium investors.
【學位授予單位】：華東師范大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F830.91;F224

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