【摘要】：上市公司的股價(jià)是如何決定的，和哪些因素具有相關(guān)關(guān)系，這個(gè)問(wèn)題一直受到國(guó)內(nèi)外學(xué)術(shù)界和投資界的廣泛關(guān)注。對(duì)于股票價(jià)格的分析，以往存在強(qiáng)調(diào)研究公司狀況的基本面流派和重在研究過(guò)往交易數(shù)據(jù)時(shí)間序列的技術(shù)面流派，兩者各有側(cè)重。基本分析能夠比較全面地把握公司的經(jīng)營(yíng)狀況和證券的內(nèi)在價(jià)值，但是存在滯后以及對(duì)市場(chǎng)價(jià)格預(yù)測(cè)的精度相對(duì)較低。技術(shù)分析可以比較準(zhǔn)確的把握股票的價(jià)格趨勢(shì)，但是沒(méi)有考慮市場(chǎng)行為背后的成因。因此，需要將基本分析和技術(shù)分析綜合起來(lái)進(jìn)行股票估價(jià)，才能既保留技術(shù)分析的優(yōu)點(diǎn)，又考慮基本因素的影響。 本文首先提出基本面估價(jià)模型和技術(shù)面估價(jià)模型，借鑒Bettman（2009）的方法將二者結(jié)合起來(lái)建立基本面-技術(shù)面估價(jià)模型。再探討中國(guó)股票市場(chǎng)中影響股票市場(chǎng)價(jià)格的非流通股因素和新股股價(jià)虛高因素，將這些因素引入上述估價(jià)模型。最后，選取A股2002年至2011年全部公司作為研究樣本，來(lái)探討在中國(guó)股票市場(chǎng)中基本面與技術(shù)面聯(lián)合估價(jià)模型是否能提高股價(jià)解釋力度。結(jié)果顯示：基本分析和技術(shù)分析對(duì)股價(jià)有增量解釋作用，即基本面-技術(shù)面估價(jià)模型對(duì)股價(jià)的解釋能力優(yōu)于二者各自的估價(jià)模型。并且本文引入的兩個(gè)特質(zhì)因素對(duì)股票的影響也是顯著的，說(shuō)明投資者在進(jìn)行投資決策的時(shí)候需要考慮公司非流通股比例和二級(jí)市場(chǎng)的新股炒作�？傮w來(lái)說(shuō)，綜合基本面因素和技術(shù)面因素的估價(jià)模型在中國(guó)股票市場(chǎng)可以更好的分析股票價(jià)格。
[Abstract]:How to determine the stock price of listed companies, and which factors are related, this issue has been widely concerned by both domestic and foreign academic and investment circles. For the analysis of stock price, there are two schools in the past, one is the fundamental school that emphasizes the research of the company's condition, and the other is the technical school, which focuses on the time series of the past trading data, both of which have their own emphasis. The basic analysis can fully grasp the company's operating condition and the intrinsic value of securities, but there is lag and the accuracy of market price prediction is relatively low. Technical analysis can accurately grasp the stock price trend, but does not consider the causes behind the market behavior. Therefore, it is necessary to combine the basic analysis and the technical analysis to evaluate the stock in order to retain the advantages of the technical analysis and consider the influence of the basic factors. In this paper, the fundamental evaluation model and the technical evaluation model are put forward firstly, and the fundamental-technical evaluation model is established by using the method of Bettman (2009) for reference. Then we discuss the non-tradable factors and the imaginary high factors which affect the price of Chinese stock market and introduce these factors into the above-mentioned valuation model. Finally, all A-share companies from 2002 to 2011 are selected as research samples to explore whether the combination of fundamental and technical valuation model can improve the interpretation of stock price in Chinese stock market. The results show that the basic analysis and technical analysis can explain the stock price incrementally, that is, the interpretation ability of the fundamental-technical evaluation model is better than their respective valuation models. And the two characteristic factors introduced in this paper also have a significant impact on the stock, indicating that investors need to consider the proportion of non-tradable shares and the new stock speculation in the secondary market when making investment decisions. Generally speaking, the valuation model of fundamental factors and technical factors can better analyze the stock price in Chinese stock market.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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