本文選題：高頻數(shù)據(jù) + 量價(jià)關(guān)系��； 參考：《天津財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：股票市場的誕生源自于社會(huì)經(jīng)濟(jì)的不斷發(fā)展。如今,股票市場作為資本市場的重要組成部分,可以從某一方面體現(xiàn)宏觀經(jīng)濟(jì)的變化情況,因此被人們稱作“宏觀經(jīng)濟(jì)的晴雨表”。股票市場中,股票價(jià)格和成交量是兩個(gè)不斷變化的量,也是最為直觀的兩個(gè)指標(biāo)。價(jià)格的下跌經(jīng)常伴隨有成交量的下降,同樣價(jià)格的上漲也會(huì)出現(xiàn)成交量的放大。為了進(jìn)一步探索二者之間的關(guān)系,論文將對(duì)此進(jìn)行研究。 量價(jià)關(guān)系的研究具有深刻的理論意義和應(yīng)用價(jià)值。第一,高頻數(shù)據(jù)量價(jià)關(guān)系的研究能夠讓我們更清楚的了解金融市場的微觀結(jié)構(gòu)。外部信息的到達(dá)會(huì)引起股市的變化,而這種變化則通過量價(jià)的變動(dòng)表現(xiàn)出來。交易量的變動(dòng)部分反映了信息對(duì)股市的沖擊,因此作為信息的替代變量,能更好的解釋價(jià)格波動(dòng)的原因；第二,量價(jià)關(guān)系的研究具有很高的應(yīng)用價(jià)值,無論對(duì)于廣大投資者還是應(yīng)用于期貨投資方面都有很好的指導(dǎo)和參考意義。 論文在總結(jié)之前學(xué)者關(guān)于量價(jià)關(guān)系研究的基礎(chǔ)上從靜態(tài)和動(dòng)態(tài)兩個(gè)方面對(duì)我國滬深股市的量價(jià)關(guān)系進(jìn)行了分析研究。首先,靜態(tài)關(guān)系的研究論文主要運(yùn)用了比較傳統(tǒng)的統(tǒng)計(jì)學(xué)分析方法。由于交易量序列、收益率序列都為金融時(shí)間序列,因此論文采用了基本描述性統(tǒng)計(jì)、單位根檢驗(yàn)、Granger非因果關(guān)系檢驗(yàn)等方法分別對(duì)高頻和低頻數(shù)據(jù)進(jìn)行分析,并對(duì)高頻和低頻數(shù)據(jù)的共性和區(qū)別進(jìn)行了總結(jié)。同時(shí)運(yùn)用自回歸移動(dòng)平均ARMA(p,q)模型對(duì)交易量進(jìn)行回歸,從而進(jìn)一步分解出預(yù)期交易量和非預(yù)期交易量。其次,動(dòng)態(tài)關(guān)系的研究論文主要采用了分位數(shù)回歸模型和向量自回歸(VAR)模型進(jìn)行分析。分位數(shù)回歸模型從不同分位數(shù)點(diǎn)上描述了量價(jià)間的關(guān)系。VAR模型描述了原始交易量、預(yù)期交易量、非預(yù)期交易量與收益率及收益率的波動(dòng)率序列之間的關(guān)系,并通過做脈沖響應(yīng)分析受到?jīng)_擊后對(duì)變量之間的反應(yīng)狀態(tài)。 論文的創(chuàng)新有以下兩點(diǎn)：第一、論文選取5分鐘為間隔的高頻金融時(shí)間序列數(shù)據(jù)為樣本運(yùn)用分位數(shù)回歸模型對(duì)量價(jià)關(guān)系進(jìn)行研究,相比較低頻數(shù)據(jù)而言能夠更好的揭示量價(jià)之間的內(nèi)在關(guān)系；第二,論文對(duì)高頻數(shù)據(jù)和低頻數(shù)據(jù)的特征作了對(duì)比分析,并對(duì)量價(jià)關(guān)系的研究進(jìn)行了總結(jié),為后來的研究者在量價(jià)關(guān)系研究方面提供了便利。
[Abstract]:The birth of the stock market derives from the continuous development of the social economy. Now, as an important part of the capital market, the stock market can reflect the changes in the macro-economy from a certain aspect. Therefore, the stock market is called the "barometer of macro economy". In the stock market, the stock price and volume are two constant changes, as well as the volume of stock market. The two most intuitive indicators. The fall in prices is often accompanied by a decline in the volume of turnover, and the same price increase will also appear in the volume of enlargement. In order to further explore the relationship between the two, the paper will study this.
The research on the relationship between quantity and price has profound theoretical significance and applied value. First, the study of the high frequency data price relationship can make us understand the microstructure of the financial market more clearly. The arrival of the external information will cause the change of the stock market, and the change is shown by the change of the price. The change of the volume of the transaction reflects the letter. The impact of interest on the stock market, so as a substitute for information, can better explain the reasons for the price fluctuation. Second, the study of the relationship between price and price has a very high value of application. It has good guidance and reference meaning both for the broad investors and the futures investment.
On the basis of the study of the relationship between price and price, the paper analyses the relationship between volume and price of China's Shanghai and Shenzhen stock markets on the basis of two aspects of static and dynamic aspects. First, the research papers on static relations mainly use the traditional statistical analysis method. Therefore, the paper uses the basic descriptive statistics, the unit root test, the Granger non causality test and other methods to analyze the high frequency and low frequency data respectively, and summarizes the generality and difference of the high frequency and low frequency data. At the same time, the autoregressive moving average ARMA (P, q) model is used to return the volume of the transaction, thus further decomposing Secondly, the research papers of dynamic relationship are mainly analyzed by Quantile Regression Model and vector autoregressive (VAR) model. The quantile regression model describes the relationship.VAR model between the quantity and price from different points of quantile, which describes the original volume, expected volume, unexpected volume and revenue. The relationship between the volatility sequence of rate and yield and impulse response analysis is used to analyze the state of response between variables.
The innovation of this paper is as follows: firstly, the paper selects the high frequency financial time series with 5 minute interval as the sample using the quantile regression model to study the relation of quantity and price. Compared with the low frequency data, it can better reveal the intrinsic relationship between the quantity and price; and second, the characteristics of the high frequency data and low frequency data are made in the paper. A comparative analysis is made, and the research on the relationship between volume and price is summarized, which provides convenience for later researchers in the study of the relationship between volume and price.

【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 常寧,徐國祥;金融高頻數(shù)據(jù)分析的現(xiàn)狀與問題研究[J];財(cái)經(jīng)研究;2004年03期

2 胡榮才;龍飛鳳;;中國股票市場政策市的新特征[J];財(cái)經(jīng)理論與實(shí)踐;2010年03期

3 李勝歌;張世英;;基于金融高頻數(shù)據(jù)波動(dòng)率計(jì)算方法的比較研究[J];中國地質(zhì)大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2008年01期

4 唐振鵬;;金融高頻數(shù)據(jù)和超高頻數(shù)據(jù)的研究現(xiàn)狀及展望[J];福州大學(xué)學(xué)報(bào)(哲學(xué)社會(huì)科學(xué)版);2008年04期

5 易文德;;基于Copula函數(shù)模型的股市交易量與股價(jià)相依關(guān)系[J];系統(tǒng)工程;2010年10期

6 郭梁;周煒星;;基于高頻數(shù)據(jù)的中國股市量價(jià)關(guān)系研究[J];管理學(xué)報(bào);2010年08期

7 趙久偉;肖慶憲;;股票價(jià)格運(yùn)動(dòng)的跳躍和杠桿效應(yīng)研究[J];上海理工大學(xué)學(xué)報(bào);2011年05期

8 劉建華;;基于高頻數(shù)據(jù)的中國股市量價(jià)日內(nèi)特征分析[J];經(jīng)濟(jì)師;2007年10期

9 許均華,李啟亞;宏觀政策對(duì)我國股市影響的實(shí)證研究[J];經(jīng)濟(jì)研究;2001年09期

10 周明華;胡焰林;原俊青;陳俊華;馮成祥;;基于二元EGARCH-Copula模型的中國股市量價(jià)關(guān)系分析[J];科技通報(bào);2012年07期

，

本文編號(hào)：1858450