本文選題：均值回歸 + 時(shí)間序列�。� 參考：《山東大學(xué)》2012年碩士論文

【摘要】：證券投資理論發(fā)展已近百年,證券市場價(jià)格變動的預(yù)測問題一直是研究者關(guān)注的焦點(diǎn)。迄今為止,比較一致的觀點(diǎn)是：長期范圍內(nèi)證券的收益率比短期范圍內(nèi)收益率更容易預(yù)測。均值回歸理論就是長期收益率可預(yù)測的理論代表。 西方統(tǒng)計(jì)學(xué)家在上世紀(jì)八十年代就已經(jīng)開始注意股票市場中存在大量的均值回歸現(xiàn)象,隨后許多國外學(xué)者對全球具有代表性的股票市場進(jìn)行了研究,希望通過研究這種特性,得出能夠指導(dǎo)投資的理論。中國股票市場發(fā)展時(shí)間相對較短,關(guān)于均值回歸的研究不多,本文希望通過對中國股票市場收益率的實(shí)證研究,得出其是否均值回歸,以及均值回歸的周期等一些性質(zhì),為更深入的研究中國股票市場奠定基礎(chǔ)。 本文在均值回歸的基礎(chǔ)上,首先系統(tǒng)的論述了股票投資理論的發(fā)展簡史,以及國內(nèi)外學(xué)者對股票市場的均值回歸現(xiàn)象的研究和應(yīng)用,其次,介紹了均值回歸的定義,均值回歸的特點(diǎn),均值回歸理論的現(xiàn)實(shí)意義及應(yīng)用,以及時(shí)間序列均值回歸的檢驗(yàn)方法,然后,結(jié)合均值回歸理論特點(diǎn)和中國股市的實(shí)際情況,選取上證指數(shù),深證指數(shù),上證A股,上證B股,及各行業(yè)板塊的日收益率,先利用ADF方法檢驗(yàn)時(shí)間序列的平穩(wěn)性,再利用自相關(guān)檢驗(yàn)的方法檢驗(yàn)時(shí)間序列的均值回歸性,研究結(jié)果表明,中國股票市場存在很多均值回歸的現(xiàn)象,這為均值回歸理論研究和實(shí)際應(yīng)用提供了便利。
[Abstract]:The theory of securities investment has been developed for nearly one hundred years. The prediction of the price changes in the stock market has always been the focus of the researchers. So far, the consensus view is that the yield of securities in the long term is easier to predict than the rate of return in the short term. The mean regression theory is the theoretical representative of the predictable long-term return.
In the 80s of the last century, Western statisticians began to pay attention to the existence of a large number of mean regression phenomena in the stock market. After that, many foreign scholars studied the representative stock market in the world, hoping to draw a theory that can guide investment by studying this characteristic. The development time of China's stock market is relatively short, There are few studies on mean regression. This paper hopes to find out whether the mean return, and the cycle of mean regression, will lay a foundation for the further study of the Chinese stock market through empirical study on the yield of China's stock market.
On the basis of mean regression, this paper first systematically discusses the brief history of the development of stock investment theory, as well as the research and application of the domestic and foreign scholars on the mean regression of the stock market. Secondly, it introduces the definition of mean regression, the characteristics of mean regression, the practical significance and application of the mean return theory, and the mean return of the time series. Then, combining the characteristics of the mean regression theory and the actual situation of the Chinese stock market, we select the Shanghai stock index, the Shenzhen stock index, the A shares of the Shanghai stock market, the B-share of the Shanghai stock market, and the daily returns of the industry plates. First, the ADF method is used to test the stability of the time series, and the mean regression of the time series is examined by the method of autocorrelation test. The results show that there are many mean reversion phenomena in China's stock market, which provides convenience for the research and practical application of mean regression theory.

【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F832.51

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相關(guān)期刊論文 前3條

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本文編號：1827324