本文選題：量價關系　切入點：開盤價　出處：《江西財經大學》2012年碩士論文　論文類型：學位論文

【摘要】：股票市場上量價關系理論的研究在國外已經歷經了很多年,如今正是微觀金融領域研究的熱點課題之一。傳統(tǒng)的量價關系理論傾向于從以下四個方面進行研究：價格自身的變化與交易量關系分析；價格變化絕對值與交易量關系分析；股票價格變化與交易量的因果關系；市場波動性與交易量關系研究。本文在此理論的基礎上,以中國滬、深股票A股市場為研究對象,并引入大盤指數收益率和公司規(guī)模兩個控制變量,對交易量(包括當期與滯后期)與開盤價中是否包含可以預測收盤價格變動趨勢的有價值信息進行實證分析。 全文共分為五章。第一章以Karpoff關于研究量價關系的必要性為引子,詳細介紹了傳統(tǒng)的量價關系理論(四個方面)；高交易量研究理論(交易量與收益率序列相關性的關系)；開盤價與收盤價研究理論。 第二章詳細介紹了上海與深圳證券交易所交易規(guī)則中關于開盤價與收盤價的制定標準及其作用。 第三章詳細介紹了數據的篩選方法與模型構建過程。本文以2001年1月1日至2010年12月31日為樣本期,共選取了427只股票,進行實證分析。并把總樣本分為小、中、大流通市值三個子樣本,然后分別對它們進行面板回歸分析。緊接著又考察了不同的市場環(huán)境對本文的研究結論有何影響,即從牛市、熊市的角度再次對上述子樣本分別進行分析。最后綜合考慮小、中、大流通市值樣本,并引入它們的虛擬變量,做一虛變量回歸模型進行對比分析。 第四章是實證分析部分。首先,對樣本數據進行描述性統(tǒng)計分析,并將得出的統(tǒng)計結果與歐美成熟股市進行對比分析,以考察我國股票市場中投資者行為特征。然后,對上述構建的所有模型均做嶺回歸分析,就其所得到的統(tǒng)計結果,結合我國股票市場的實際情況逐一進行分析。 第五章是結論與建議部分。對本文研究所得出的結論,加以整理小結,最后提出相應的政策建議。 實證結果發(fā)現(xiàn),第一,相比國外成熟市場,我國股市投機氛圍較為濃厚。 第二,股票的日交易量對股票收益率存在著影響,總的來說,同期日交易量與收益率之間具有顯著地正相關關系,而滯后期交易量與收益率之間卻表現(xiàn)出顯著的負相關關系。并且,隨著流通市值的增大,同期交易量對收益率的解釋能力在逐漸增強,而滯后期交易量卻得到截然相反的結論。在牛市和熊市下的實證分析,總體上也能得出相似的結論。 第三,不論市場是處于牛市還是熊市環(huán)境下,股票當期開盤收益率對收盤收益率的影響程度均遠遠的超過歷史期收盤收益率的影響。歷史收盤收益率與當期收盤收益率正相關,這表明在不考慮交易量和控制變量(大盤指數收益率、公司規(guī)模)的影響下,收益率傾向于延續(xù)原來的變動趨勢。不論市場狀態(tài)如何,在所有的子樣本中,開盤收益率均顯著地正相關于收盤收益率。并且在引入開盤量后,模型整體均得到了很大的改善。
[Abstract]:Study on the stock market price volume relation theory in foreign countries has gone through many years, now it is one of the hot topics in the micro finance field. The relationship between volume and price tendency in traditional theory research from the following four aspects: the analysis of price changes and trading volume relations; analysis of the relationship between the absolute value of price changes and trading volume; the causal relationship between stock price changes and trading volume; Study on the relationship between market volatility and trading volume. Based on this theory, the Chinese Shanghai Shenzhen stock, A stock market as the research object, and introduces the market index returns and the size of two control variables, the volume of transactions (including the current and lag) the valuable information for empirical analysis and the opening price is contained in the closing price movements can be predicted.
This paper is divided into five chapters. The first chapter is necessary to Karpoff a study on the relationship between volume and price as an example, introduces the traditional price volume relations theory (four aspects); the high volume of trade theory (the relationship between trading volume and return serial correlation); opening and closing price research theory.
The second chapter introduces in detail the standard and function of the opening and closing prices in the trading rules of the Shanghai and Shenzhen stock exchanges.
The third chapter introduces the data screening methods and the model building process. This paper from January 1, 2001 to December 31, 2010 as the sample period, a total of 427 stocks, the empirical analysis. The total sample was divided into small, large market capitalization of three sub samples, then panel regression analysed. Followed by the investigation the impact of different market environment on the conclusions of this paper, from the perspective of the bull market, bear market again the sub samples were analyzed. Finally, considering the small sample, the large market capitalization, and the introduction of dummy variables they do, a dummy variable regression model were analyzed.
The fourth chapter is the empirical analysis. Firstly, the descriptive statistical analysis of sample data, the statistics and the results were compared with the mature stock markets in Europe and America, in order to study the behavior of investors in our country stock market characteristics. Then, all the models built above all ridge regression analysis, the statistical results obtained. According to the actual situation of China's stock market are analyzed.
The fifth chapter is the conclusion and the suggestion part. The conclusion is summarized and the corresponding policy suggestions are put forward at the end.
The empirical results show that, first, compared with foreign mature market, the speculative atmosphere of China's stock market is relatively strong.
Second, the daily trading volume of the stock have influence on stock returns, in general, have a significant positive correlation between the same day trading volume and return, and the lag between the trading volume and return it showed a significant negative correlation. Moreover, with the increase of market capitalization and trading volume over the same period of yields explanation ability gradually increased, while the lag trading volume has been the opposite conclusion. Empirical analysis in bull and bear markets, is also generally come to similar conclusions.
Third, whether the market is in a bull market or bear market environment, stock returns impact on the current opening closing rate of return is far more than the history of the closing effect of the return rate. The historical closing rate of return and the current closing rate of return is related to that without considering the trading volume and control variables (the market index returns the size of the company), under the influence of changing trend yields tend to perpetuate the original. Regardless of the state of the market in all sub samples, the opening rate of return has significantly positive correlation with the closing rate of return. And with the introduction of the opening amount, the whole model have been greatly improved.

【學位授予單位】：江西財經大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F224;F832.51

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