沪深A股量价波动关系研究—基于岭回归和分位数回归 金融学专业.doc

沪深A股量价波动关系研究—基于岭回归和分位数回归 摘 要 金融市场的交易量和价格变动与市场信息有着密切关系，常常被选为研究金融市场的主要数据。但是价格变动与交易量之间有什么关系，二者和股市波动有什么关系都仍在探索之中。本文通过查阅相关文献，了解了现有的量价关系的评价指标和基本数据模型，已有的关于沪深A股量价与波动性关系研究中，运用不同的方法研究得到的结果截然不同，有研究结果表明量价与波动性呈现为正相关或负相关，有的研究结果表明量价与波动性呈现为强相关、弱相关、不相关。我国股票市场和发达国家不同，现阶段还处于比较稚嫩的阶段。为了探索我国沪深A股市场的量价关系，考虑到我国股票市场投资者结构的特殊性，运用面板数据分析对沪深A股2009年9月到2017年9月的股票数据进行筛选，然后利用岭回归的方法对期间股票数据进行研究后发现，我国沪深A股证券市场上的股票收益率和同期的股票换手率之间存在着显著的正相关关系。但是滞后期的交易量与股票市场的收益率之间存在很弱的关系，说明在选股时参考前一期的股票收益率的意义不大，但是从股票市场中的大盘指数收益率来看，同期大盘指数收益率与股票市场的交易量之间存在正相关关系，在选股的时候可以把同期的大盘指数收益率作为一个参考指标。利用分位数回归分析结果表明股票交易量对平均股价的条件分布的两端的影响小于对中间的影响，也即是说某只股票在较少人关注且有着较低的买入卖出量和在较多人关注且有着较高的买入卖出量时对股票价格变动的影响都较小，而最能使得股票价格波动的是处于某一时间段均值附近的成交量，在成交量在处于某一时间段均值附近时，成交量和股价的波动性呈现正相关关系。 全文共分为五章。 第一章 绪论部分。主要包含本文研究背景、意义、国内外关于量价理论的研究现状，以及对论文研究方法及其思路进行概述。 第二章 对股票市场的量价理论成立的背景理论进行概述和研究，具体分为三种有效市场。结合我国股票市场，论述我国股市的弱式有效性。介绍股市的行为变动特征，主要论述了基于有效市场的信息理论模型，概述了影响股价波动的相关因素，以及股价和风险率的关系。 第三章 主要描述了中国股票市场的总体情况。首先介绍了我国股票市场历史发展情况，介绍投资主体、经济政策环境以及投资对象等。根据第二章的影响股价的因素，引入了具有我国股票市场发展的特殊因素。接着详细论述我国股票市场投资者结构的特殊性，即机构投资者比例相对发达国家较低，主要参与者为个人投资者，分别叙述了个人投资者和机构投资者对市场的影响，最后提到我国股市的主导者问题。 第四章 量价关系和收益率的实证分析。结合CSMAR中沪深A股的数据，利用岭回归和分位数回归分析建立实证模型。验证了股票成交量和股票价格变动关系、股票价格变动和收益率关系。 第五章 结论与展望。这一部分结合全文对我国股票市场的概述和量价理论，通过上一章的实证分析所得出的结果，得出目前我国股票市场中的股票价格、交易量和收益率之间的关系。针对结果及实证过程中所发现的问题，对我国股票市场发展提出建议与展望。 关键词：量价波动关系　沪深A股　岭回归 分位数回归 STUDY ON THE FLUCTUATION OF SHANGHAI AND SHENZHEN A-SHARES PRICE-VOLUME RELATIONSHIO—BASED ON RIDGE REGRESSION AND FRACTAL REGRESSION ABSTRACT The financial market trading volume and price changes in financial markets are closely related to market information and are often selected as the main data for research on financial markets. But what is the relationship between price changes and trading volumes, and the relationship between them and stock market volatility is still being explored. In this paper, by consulting relevant literature, to understand the relationship between the quantity and price of the existing evaluation index and basic data model, the quantity and price of Shanghai and shenzhen A shares and volatility in the existing studies, using different methods to study the result is very different, there are research results show that the presented with quantity and price volatility is A positive correlation or negative correlation, some research results show that the presented with quantity and price volatility is strong, weak, irrelevant. China's stock market and developed countries are different, at this stage is in a relatively immature stage. In order to explore the relationship between quantity and price of Shanghai and shenzhen A share market in our country, considering the particularity of Chinese stock market investors structure, using the panel data analysis to Shanghai and shenzhen A shares in September 2009 to September 2017, the stock data filtering, and deals with the method of ridge regression period found that after the stock data to research the stock returns of Shanghai and shenzhen a-share stock market in our country and the rate of the stock in hand over the same period there is A significant positive correlation between. But lag between trading volume and the yield of the stock market is very weak, the relationship between instructions when picking stocks makes little sense to refer to the previous stock yield, but from the perspective of return on the market of the stock market index over the same period the market index yields and the positive correlation between stock market trading volume, can take over the same period the market when stock index returns as a reference index. Use quantile regression analysis results show that the shares traded on the ends of the conditional distribution of average share price is less than the influence of the impact on the middle, also said that a stock is in less attention and has a lower amount and when buying and selling in more people attention and has a higher amount when buying and selling of the impact on the stock price movements are small, and most can make stock price volatility is at a certain time period near the average volume, near the average volume in a certain time period, the trading volume and stock price volatility present positive correlation. The full text is divided into five chapters. Chapter first introduction. This paper mainly includes the research background, significance, domestic and foreign research status of the theory of quantity price, and summarizes the research methods and ideas of the thesis. The second chapter summarizes and studies the background theory of the theory of the price theory of stock market, which is divided into three effective markets. Combined with China's stock market, the paper discusses the weak validity of the stock market. This paper introduces the behavior change characteristics of stock market, mainly discusses the information theory model based on the effective market, and summarizes the related factors that affect the stock price fluctuation, as well as the relationship between stock