论文标题:我国沪深股市价量关系的实证研究
Enhancing the Core Competitiveness of Liangshan Mobile Communication: A Strategic Study of the Competitiveness of Liangshan Mobile Communication
论文作者 郑志凌
论文导师 陈永生,论文学位 硕士,论文专业 金融学
论文单位 西南财经大学,点击次数 147,论文页数 81页File Size931k
2005-04-01论文网 http://www.lw23.com/lunwen_13077462/ 价量关系; 上证综合指数; 深证成份指数; Granger检验; EGARCH
Price-volume Relation; ShangHai Stock Exchange Composite Index; ShenZhen Stock Exchange Component Index; Granger Causality Test; EGARCH Model
中国证券市场从成立至今,已有十多年的历史。不管从发行的证券数量看,还是从沪深两市的成交量看,中国的证券市场都取得了长足发展。随着中国股市在实践中的发展与完善,国内专家学者对它的理论研究也逐渐成熟与完善。近些年来,许多学者对我国股市的有效性以及股市对信息的反应等问题进行了研究分析。但至今却极少有人对我国股市价格与成交量的关系进行有效研究。尽管价量关系早已广泛运用于股票投资的技术分析中,但价量关系是否适用于我国股市却缺乏一定的理论支持。研究成交量与价格的相关性非常重要。首先,清楚价量关系有助于洞察金融市场是如何建立的。交易量也许标志着信息的来临,而价格则依赖于信息流的速度、信息传播的方法以及市场的规模。其次,由于交易量能反映公开与内部的信息,因此,它是衡量信息流的一个较好的标准。本文就是对价量关系问题的探索性研究。 一、本文结构和研究方法 文章的第一部分是引论。目前,对于成交量的研究还没有引起人们的重视,在资产市场的一般均衡理论中也找不到成交量产生的依据。如马可维茨的资产组合选择理论、夏普的资本资产定价模型、以及套利定价理论,成交量都没有被包含进去或者没有被纳入模型分析的范围。然而,结合成交量来研究收益率却有着深远的意义,主要体现在以下五个方面:第一,通过对价量关系的研究可以更为深入地了解金融市场的微观结构;第二,价量关系研究对于事件研究法(event studies)有着重要意义;第三,价量关系的特征对于确定投机价格的经验分布有决定性的意义;第四,市场自身行为是技术分析的聚焦点,而市场自身行为最基本的表现就是价格和成交量;最后,价量关系的研究成果对期货市场的研究也有重要的启示。 第一章为文献综述,将总结国外学者关于价量关系的研究,归纳II得到比较成熟的价量关系研究成果。股市交易量与收益率之间的变动关系,长期以来一直是金融领域的一个重要话题,因为价量关系是了解金融市场结构的一个途径,也是研究套利机会或者说市场有效性的重要手段。现有相关文献大多针对美国股市,其价量关系的研究却是多角度的。例如,股价变动与交易量之间的关系(Westerfield,1977;Tauchen 和 Pitts,1983;Rogalski,1978),股价变化的绝对量(变化幅度)与交易量之间的关系(Crouch,1970),价格波动方差与交易量之间的关系(Epps 和 Epps,1976)等。这类研究的一般性结论是:交易量与股价变动成正相关,与股价波动幅度也呈正相关(Karpoff,19871)。然而,如 Gallant 等(1992)所指出,此前关于量价关系的研究主要集中在二者的当期静态关系上。Hiemstra 和 Jones(1994)最先开始使用线性和非线性格兰杰因果检验研究股市收益率和交易量变化率之间的动态关系。Campbell等(1993)对价量因果关系的研究表明,伴随大的交易量的股价变化方向容易逆转,而伴随小的交易量的股价变化方向容易持续。在Blume 等(1994) 的模型中,交易者能够从证券过去的交易量和价格中获得有效信息,因此技术分析中包含交易量变动信息的交易者更能获利。Wang(1994)基于信息不对称模型分析了价量之间的动态关系,表明交易量能为未来股价的变动提供信息。这些模型都为股市量价之间关系的实证研究提供了有益的指导。Chen 等(2001)利用 9 个发达国家和地区股市的大盘数据,用格兰杰因果检验检测了股价和交易量之间的动态关系,结果认为交易量和股价的绝对变动量之间存在正相关关系,一些市场上是股价变动先于交易量变动,而另一些市场则得出相反的结论。Lee 和 Rui(2002)同样利用格兰杰因果检验方法,考察了美日英三国股价和交易量的关系,认为在这几个市场中交易量并非股价变动的格兰杰原因,而美国的交易量对英日市场有先导作用。除此之外,Lamoureux 和 Lastrapes(1990)在条件波动特性中引入当期成交量(代替信息到来)来检验是否仍然存在着 GARCH 效应。他们发现对于个股而言,一旦当期成交量引入模型中以后,波动性显III著下降;Gong-meng Chen 等(2001)运用 EGARCH 类模型对美国、日本、英国等九个国家的股票市场进行了实证研究,他们认为成交量包含的某种信息对收益率的波动性有影响作用;赵留彦等(2003)同样使用EGARCH类模型对我国沪深股市1996年以后的数据进行了实证检验,他们将成交量引入方差方程中发现,预期到的交易量变动同股价波动没有明显相关性,而非预期的部分不但与同期的波动正相关,还可以为下期波动提供预测信息。第二章对收益率和成交量序列进行基本的统计分析。将从样本范围的选取依据、时段划分的依据、收益率和成交量序列的统计特征以及收益率和成交量序列的平稳性等几方面进行分析,其中包括对收益率和成交量序列的处理方法以及 ADF 检验等计量经济方法。从检验结果来看,沪深股市两时段的收益率和成交量序列均为序列平稳。第三章,将应用线性回归对沪深股市每日收盘价序列与交易量序列进行实证分析,一方面描述我国沪深股市股价变动的绝对值和成交量之间的静态关系,另一方面研究股价变动本身和成交量之间的静态关系。本文认为,文章第一章所提到的信息贯序到达模型、混合分布假设、理性?
From establish up to now, Chinese stock market have already had a history of more than ten years. Whether consider from the quantity of issued stocks, or consider from the volumes in shanghai and Shenzhen stock markets, our stock markets all obtained the substantial development. Along with the Chinese stock markets" development, the local researchers were gradually maturity. In recent years, many scholars have researched lots of issues, including the efficiency of our stock markets and the reaction of the markets to the information etc. But up to now, few scholars have researched the relationships between returns and volumes systemically. Although the price-volume relation has already been used in the technique analysis extensively, the theoretical support was not strong enough for its appliance to our country. It is very important to research the relationship between volume and prices. First, the price-volume relation is beneficial to insight into how can financial market be established. Second, because the volumes can reflect public and private information, it is a good criterion to measure the information flows. So, this article will study on the price-volume relations systemically. Ⅰ.Research Structure and Methods The first part is a general introduction. Research on price-volume relation has a profound meaning. It can be seen from five aspects. First, it provides insight into the structure of financial markets. Second, the price-volume relation is important for event studies that use a combination of price and volume data from which to draw inferences. Third, the price-volume relation is critical to the debate over empirical distribution of speculative prices. Fourth, the price-volume relation is crucial to the technique analysis. At last, price-volume relation has significant implications for research into futures markets. In the first chapter, this paper reviews previous foreign research on the relation between price changes and trading volume in financial markets and take the mature conclusion as the objects of the following empirical tests. In the second chapter, this paper will carry on the basic statistics analysis about the rate of return and the volume series. We will carry on the analysis from several aspects such as the scope of selected sample, the statistic characteristic and stability of the volume series and the rate of return series etc., including the processing method to the rate of return and the volume series and the econometrical method, such as ADF examination etc. Seeing from the examination result, price changes and trading volume series of the Shanghai and Shenzhen stock markets are all series stability. Chapter 3 will apply the empirical method to analysis everyday closing price series and the trading volume series of the Shanghai and Shenzhen stock markets. On one hand describe the static relationship between absolute value of the price change and volume in Shanghai and Shenzhen stock markets; on the other hand study the static relationship between volume and the price change Per Se. This article believe that the static relationship between volume and price changes in western national stock markets can be well explained by sequential arrival of information model, mixture of distribution hypothesis, rational expectation asset pricing model and differences of opinion model, but the stock market of our country are different from the western national stock markets in many aspects, these models can"t directly set use to our country to explain the static relationship between volume and price changes. We should explain this relationship from the concrete circumstance of our country. In chapter 4, we will focus on the dynamic relationship between volume and price change. The Granger Causality test will be used. In theempirical analysis, the result of Granger Causality test shows that price change is obviously helpful to prediction of volume, and in theoretical explanation, the information represented by volume is also held by equilibrium price. So the information contained in volume is
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