發(fā)布時(shí)間：2019-03-04 16:01

【摘要】：從上海和深圳證券交易所先后成立以來(lái)，中國(guó)的證券市場(chǎng)得到快速發(fā)展,對(duì)證券交易的參與者和研究證券的學(xué)者而言，一個(gè)共同的問(wèn)題是股票價(jià)格的波動(dòng)：它是由哪些因素影響或者決定的，這些因素是如何影響價(jià)格的，在諸多因素中，哪些因素是起主要甚至決定作用的。這些問(wèn)題在以往的研究中有過(guò)不同角度的探討，，這中間有一個(gè)共同認(rèn)知，就是信息對(duì)股票價(jià)格波動(dòng)的影響是顯著的。而在股票市場(chǎng)上我們經(jīng)�？梢钥吹揭粋�(gè)行業(yè)的股票出現(xiàn)齊漲共跌的現(xiàn)象，說(shuō)明股票價(jià)格波動(dòng)存在行業(yè)因素，投資者選擇股票的時(shí)候要充分考慮到行業(yè)風(fēng)險(xiǎn)。 首先，本文介紹了有效市場(chǎng)假說(shuō)和股票定價(jià)的相關(guān)理論，并對(duì)現(xiàn)有股票定價(jià)模型進(jìn)行比較分析，結(jié)合我國(guó)實(shí)際情況，最終選擇多元線性回歸模型進(jìn)行研究。 其次，就數(shù)據(jù)來(lái)源及模型構(gòu)建、檢驗(yàn)進(jìn)行了說(shuō)明，選取2011年1月2日到2012年4月27日的F10信息，選取其中的六大類指標(biāo)為數(shù)據(jù)基礎(chǔ)，在對(duì)原始數(shù)據(jù)進(jìn)行處理、整理之后進(jìn)行分析。并說(shuō)明模型的檢驗(yàn)及最優(yōu)模型的選擇。 然后，對(duì)四個(gè)行業(yè)的股票價(jià)格據(jù)定模式進(jìn)行分行業(yè)的分析，之后結(jié)合行業(yè)特征對(duì)行業(yè)間的差異進(jìn)行比較分析，研究結(jié)果表明，四個(gè)行業(yè)的股票價(jià)格決定模式很好的反應(yīng)了本行業(yè)的特征：銀行業(yè)股票價(jià)格主要受到凈資產(chǎn)和未分利潤(rùn)的影響，資產(chǎn)類數(shù)據(jù)是價(jià)格波動(dòng)的主要因素；鋼鐵行業(yè)受到未來(lái)收益預(yù)測(cè)的影響較大；煤炭行業(yè)在收到未來(lái)預(yù)期的影響的同時(shí)受到股東結(jié)構(gòu)的影響也較為突出；釀酒行業(yè)受到收益的影響較大，包括歷史數(shù)據(jù)和預(yù)期收益。 最后，基于研究結(jié)果對(duì)股票市場(chǎng)參與者提出相關(guān)建議，并對(duì)本文的不足之處提出展望。
[Abstract]:Since the establishment of the Shanghai and Shenzhen Stock exchanges, China's stock market has developed rapidly. For participants in securities trading and scholars studying securities, A common problem is the volatility of the stock price: which factors affect or determine the price, how these factors affect the price, among many factors, which factors play a major or even decisive role. These problems have been discussed from different angles in previous studies, and there is a common understanding that the effect of information on the volatility of stock prices is significant. In the stock market, we can often see the stock in an industry rise and fall phenomenon, indicating that there are industry factors in the volatility of stock prices, investors should take full account of industry risks when choosing stocks. Firstly, this paper introduces the efficient market hypothesis and the related theory of stock pricing, compares and analyzes the existing stock pricing models, and finally chooses the multiple linear regression model to study the actual situation of our country. Secondly, the source of the data and the model construction, test is described, the F10 information from January 2, 2011 to April 27, 2012 is selected, and six kinds of indicators are selected as the data basis, and the original data is processed. Organize and analyze. The test of the model and the selection of the optimal model are also explained. Then, the paper analyzes the stock price of the four industries according to the fixed model, and then compares and analyzes the differences between the industries according to the characteristics of the industry. The results of the study show that the stock prices of the four industries are different from each other. The stock price determination model of four industries reflects the characteristics of the industry well: the stock price of banking industry is mainly affected by net assets and undivided profits, and asset data is the main factor of price fluctuation; The iron and steel industry is greatly affected by the future earnings forecast; the coal industry is influenced by shareholders' structure while receiving the expected future; and the wine industry is greatly affected by the revenue, including historical data and expected returns. Finally, based on the research results, some suggestions are put forward for the participants in the stock market, and the shortcomings of this paper are prospected.
【學(xué)位授予單位】：燕山大學(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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