本文選題：分位數(shù)回歸 + 價量關系��； 參考：《南京大學》2015年碩士論文

【摘要】：價格和成交量能最直接地反映股票市場的狀況,價量關系是我們了解股票自身、股票交易和股票市場都是一個重要的切入點,同時也是了解金融市場結(jié)構(gòu)以及市場有效性的重要途徑。中國股票市場在一個特殊國情下產(chǎn)生,發(fā)展歷史較為短暫,要全面而深刻地了解它必定離不開價量關系的研究。近期,為了進一步推動中國資本市場對外開放,國家積極創(chuàng)造條件,建立了上海與香港股票市場的交易互聯(lián)互通機制(簡稱滬港通)。在此背景下,研究滬港市場的價量關系對于滬港通的開通具有重要的現(xiàn)實意義。本文主要討論的問題有：價量關系相關理論、分位數(shù)回歸原理介紹以及價量關系的實證分析等。圍繞這些問題,采用的研究方法和思路是：本文以滬港通為背景,以上海證券交易所和香港證券交易所為研究對象,以分位數(shù)回歸為主要研究方法,綜合分析A股市場和H股市場的成交量與收益率之間的關系,深層次剖析滬港兩地的價量關系特征。本文的主要研究結(jié)論：針對具有異方差性的數(shù)據(jù),分位數(shù)回歸比普通最小二乘回歸更加穩(wěn)健、有效；從整體來看,A股市場和H股市場的收益率和成交量之間呈正相關關系,即存在“量利齊揚”和“量縮利減”的現(xiàn)象；通過對比上證滬股通指數(shù)和上證港股通指數(shù)的收益率和成交量分位數(shù)回歸系數(shù),發(fā)現(xiàn)港股通的回歸系數(shù)波動較大,這意味著港股市場風險大于A股市場。
[Abstract]:Price and trading volume can most directly reflect the situation of the stock market. The relationship between price and quantity is the understanding of the stock itself. Stock trading and stock market are both an important entry point.At the same time, it is also an important way to understand the structure of financial markets and market effectiveness.The stock market of China is produced under a special national condition, and its history of development is relatively short. If we want to fully and profoundly understand it, we must be inseparable from the study of the relationship between price and quantity.Recently, in order to further promote the opening up of China's capital market, the state has actively created the conditions for the establishment of a trading interconnection mechanism between Shanghai and Hong Kong stock markets (referred to as the Shanghai-Hong Kong Stock Connect).Under this background, it is of great practical significance to study the relationship between the price and quantity of Shanghai and Hong Kong market for the opening of Stock Connect between Shanghai and Hong Kong.The main problems discussed in this paper are: the theory of valence and quantity relation, the introduction of quantile regression principle, and the empirical analysis of the relationship between price and quantity.Around these problems, the research methods and ideas are as follows: this paper takes the Stock Connect of Shanghai and Hong Kong as the background, the Shanghai Stock Exchange and the Hong Kong Stock Exchange as the research objects, and the quantile regression as the main research method.This paper comprehensively analyzes the relationship between trading volume and yield in A-share market and H-share market, and deeply analyzes the characteristics of price-volume relationship between Shanghai and Hong Kong.The main conclusions of this paper are as follows: for the data with heteroscedasticity, quantile regression is more robust and effective than ordinary least square regression.That is to say, there are the phenomena of "Quantile Liqiyang" and "reduction of interest in quantity". By comparing the return rate of Shanghai Stock Connect Index with Shanghai Stock Connect Index and the regression coefficient of turnover quantile, it is found that the regression coefficient of Hong Kong Stock Connect fluctuates greatly.This means that the Hong Kong stock market risk is greater than the A-share market.
【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2015
【分類號】：F832.51;F224

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本文編號：1740858