中国股价行为金融计量研究
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摘要
多年以来,中国经济一直是全球经济发展中一道亮丽的风景,然而,同样迅速发展中的中国股市有时却表现出不和谐的音符。中国由计划经济向市场经济转轨的特定经济发展背景,以及西方对金融计量经济研究方法和经验检验的发展和积累,无疑为研究中国股票市场价格行为,甚至更一般的股票市场价格行为,提供了不可多得的土壤和工具。因此,中国股市价格行为的统计特征为何?其动态行为服从什么样的规律?中国股市价格行为和实质经济之间的关系到底怎样?中国股市价格的决定和发现遵循什么样的过程或者模型?等等。这些来源于实践的问题,同样也是极富理论意义的问题,就构成了本文的研究中心。
本文在占有大量国内外相关文献的基础上,以中国经济体制转轨变迁下的上市公司和投资者行为特征为外部环境基础,以西方金融计量经济学方法为主要研究工具,以对中国股市价格行为的理论分析和经验研究为中心,利用中国股票市场相关数据,对中国股票市场价格行为典型事实进行理论分析和经验研究,试图把握近代金融理论发展的方向,丰富股票价格行为的研究内涵,探讨转轨新兴股票市场股价行为的特性,进而提出一定的政策建议。
在研究中,本文将金融计量经济学方法作为研究的基本方法。在建模方法论的指导之下,在对相关金融理论分析的基础之上,本文通过构造大量的计量经济学模型,包括经济模型和统计模型,来对中国股价行为进行经验研究。本文采取理论研究和经验研究相结合、实证分析和规范分析相结合、历史比较分析法、国际比较分析法和逻辑分析法等研究方法。为了直观揭示某些典型事实特征,本文还大量应用了图表分析方法。此外,本文还采用了定性分析和定量分析相结合、静态分析与助态分析相结合、宏观分析与微观分析相结合的研究方法。
股票市场价格含有大量丰富的信息,股市价格行为涉及到股票市场运行的方方面面。在对相关金融理论分析的基础之上,本文主要对中国股价行为的主要典型事实进行经验研究,并对股价决定发现机制和理论进行经验检验,包括8章内容:
第一章导论,主要涉及到论文的一些介绍性工作。本章以问题提出开始,
内容摘要
介绍了论文的研究背景和理论实践意义。在对论文研究对象进行界定后,就国
内外研究现状介绍了典型文献的研究情况。最后给出了论文研究的总体思路、
研究方法以及论文基本结构、主要创新和不足之处。
第二章到第四章侧重于对中国股价静态行为和动态行为的统计特征进行研
究。第二章中国股价及收益率统计特征研究,在给出股票价值模型和收益率定
义测度以及分布理论的基础上,概括总结了国内外对收益率分布的相关文献,
随后研究了价格指数水平和价格指数收益率的统计特征。本章得出了关于日内
和日间涨跌点数的统计规律,表明价格指数收益率呈现出尖峰厚尾的统计特征,
并给出了相应的解释。关于价格离散化对股价统计特征的影响研究是本文的重
点,介绍并研究了交易价格离散化这一普遍现象对股票价格、收益率、以及M
维历史关系图中的罗盘现象在中国股市的应用情况。交易价格离散化对价格的
影响主要表现为价格尾数聚集现象。在有限的样本之下,本章得出的结论认为,
尽管存在价格尾数聚集现象,但中国股市和外国股市价格尾数聚集模式并不相
同。价格离散化对收益率的影响研究表明尚未发现和国外相同的高价股票离散
化程度比较弱的规律。关于M维历史关系图中罗盘现象的经验研究表明,我国
股票收益率数据中确实存在着罗盘现象。本章还考察罗盘出现的影响因素,解
释了罗盘现象出现的原因,改进了Crack和Ledoit(1 996)的解释模型。
第三章中国股价行为自相关性与协整性研究,主要研究了中国股票市场价
格行为的相关性和协整性。本章首先研究了相关性的若干基本问题,然后分析
了相关性和相应金融理论之间的关系。在第三节简单研究了我国股价行为的动
态特性,主要分析了股票市场价格指数之间的相关性和协整性,得出结论认为
收益率之间相关系数高于价格指数相关系数,上海股市和深圳股市之间的相关
程度相当高。协整性研究表明对数价格指数序列都是单整的,其一阶差分序列,
也就是复合收益率序列都是平稳的;在上海股市和深圳股市成份指数之间、综
合指数之间分别存在着协整关系,而交叉指数之间则不存在协整关系。这表明
非流通股的存在严重影响了股票价格指数的动态行为。第四节主要研究了低频
收益率的自相关现象。论文先用历史比较法来研究不同时期收益率的自相关情
况,得出结论认为中国股票收益率自相关系数还是比较弱的;且随着时间推移,
自相关现象有进一步减弱的趋势。自相关情况的国际比较虽然表明中国股市自
相关性弱于国际成熟市场,但是未必得出中国股市目前随机性也强于对应国际
内容摘要3
甲...月..月旦旦旦旦,甲闷旦
股票市场的结论,并给出了简单的原因分析。第五节为了研究高频收益和低频
收益自相关情况是否遵循相同模式,分析了上海股市高频收益率的自相关性情
况。得出结论认为高频收益率中存在着非常明显的负低阶自相关现象;但随着
阶数增加,这种负自相关衰减非常迅速。本节最后给出了解释高频收益率自相
关现象的几种理论假说,并对自己提出的理论假说进
In recent decades years, Chinese economy has been a bright sight in the world economy. At the same time, Chinese stock market has made great development. However, there are many unharmonious phenomena in the performances of the' Chinese stock market. The specific economic background in which China is transferring from the plan economy to the market economy, and the development and accumulation of the western financial econometrics techniques and methods and those empirical application, all provide very valuable soil and tools, by which we can analyzes the price behavior of Chinese stock market. What are the statistical characteristics of Chinese stock market price behavior? Which principles do the price dynamic behaviors follow? What is the relationship between the Chinese stock price and the real economy? Which processes and models does the determination and discovery of the Chinese stock price follow? Etcetera. Because those questions not only come from the practice, but also have great theoretical significance, they are the cores of this dissertation, which examines those issues from a number of perspectives.With the comprehensive research on the foreign and domestic literature on stock price behavior, under the context in which our Chinese listed companies and investors are in the transition of Chinese economic system, with the tools of the western financial econometrics techniques, based on the relavent data from the Chinese stock market, this dissertation focuses on the empirical and theoretical research on the Chinese stock market price behavior, and analyzes the stylized facts in Chinese stock markets, at last advances some policy advices on the development of Chinese stock market.The fundamental methods in this dissertation are the techniques from the financial econometrics and the guiding modeling methodology. Besides, various methods are employed in the research process of this dissertation, including the combination of theoretical and empirical analysis, positive and normative analysis,
historical and logical analysis, quantitative and qualitative analysis. In this process, a good many of tables, figures and diagrams are also used in this dissertation.There is plenty of information included in the stock market prices, and the stock market prices are concerned with many aspects of the working of the stock market. This dissertation empirically examines the main stylized facts in Chinese stock prices behavior, and makes empirical researches on the determination or discovery of mechanism and theory of stock prices. This dissertation contains eight chapters:The Chapter One is the introduction part, comprising the advancing and defining of the question, a brief retrospect on the history and status quo of the study on the stock price behaviors. In the last, this chapter presents the whole thought way, research methods, the basic structure and main results and innovations.The section from the Chapter Two to the Chapter Four focuses on the static and dynamic statistical characteristics of Chin+ese stock prices. Based on the relevant theoretical research, the Chapter Two, on the static statistical characteristics of Chinese stock prices and returns, examines the statistical characteristics of the price index and the index returns, the statistical distribution of the impact of the trading price discreteness on the stock prices and returns, and the empirical research on the "compass rose" in the 2-dimension history in Chinese stock market. Our study suggests that the statistical distributions of the returns, of the price changes for tick data in a day or between days, are similar to the overseas stock markets. The discreteness can result in the phenomenon of price clustering, but the pattern is different from the phenomenon in NYSE. This chapter also documents the "compass rose" in Chinese stock returns, which is a universal phenomenon.Chapter Three, on the autocorrelation and cointegration in Chinese stock market, mainly explores the dynamic characteristics of Chinese stock price behavior, including the correlation,
本文在占有大量国内外相关文献的基础上,以中国经济体制转轨变迁下的上市公司和投资者行为特征为外部环境基础,以西方金融计量经济学方法为主要研究工具,以对中国股市价格行为的理论分析和经验研究为中心,利用中国股票市场相关数据,对中国股票市场价格行为典型事实进行理论分析和经验研究,试图把握近代金融理论发展的方向,丰富股票价格行为的研究内涵,探讨转轨新兴股票市场股价行为的特性,进而提出一定的政策建议。
在研究中,本文将金融计量经济学方法作为研究的基本方法。在建模方法论的指导之下,在对相关金融理论分析的基础之上,本文通过构造大量的计量经济学模型,包括经济模型和统计模型,来对中国股价行为进行经验研究。本文采取理论研究和经验研究相结合、实证分析和规范分析相结合、历史比较分析法、国际比较分析法和逻辑分析法等研究方法。为了直观揭示某些典型事实特征,本文还大量应用了图表分析方法。此外,本文还采用了定性分析和定量分析相结合、静态分析与助态分析相结合、宏观分析与微观分析相结合的研究方法。
股票市场价格含有大量丰富的信息,股市价格行为涉及到股票市场运行的方方面面。在对相关金融理论分析的基础之上,本文主要对中国股价行为的主要典型事实进行经验研究,并对股价决定发现机制和理论进行经验检验,包括8章内容:
第一章导论,主要涉及到论文的一些介绍性工作。本章以问题提出开始,
内容摘要
介绍了论文的研究背景和理论实践意义。在对论文研究对象进行界定后,就国
内外研究现状介绍了典型文献的研究情况。最后给出了论文研究的总体思路、
研究方法以及论文基本结构、主要创新和不足之处。
第二章到第四章侧重于对中国股价静态行为和动态行为的统计特征进行研
究。第二章中国股价及收益率统计特征研究,在给出股票价值模型和收益率定
义测度以及分布理论的基础上,概括总结了国内外对收益率分布的相关文献,
随后研究了价格指数水平和价格指数收益率的统计特征。本章得出了关于日内
和日间涨跌点数的统计规律,表明价格指数收益率呈现出尖峰厚尾的统计特征,
并给出了相应的解释。关于价格离散化对股价统计特征的影响研究是本文的重
点,介绍并研究了交易价格离散化这一普遍现象对股票价格、收益率、以及M
维历史关系图中的罗盘现象在中国股市的应用情况。交易价格离散化对价格的
影响主要表现为价格尾数聚集现象。在有限的样本之下,本章得出的结论认为,
尽管存在价格尾数聚集现象,但中国股市和外国股市价格尾数聚集模式并不相
同。价格离散化对收益率的影响研究表明尚未发现和国外相同的高价股票离散
化程度比较弱的规律。关于M维历史关系图中罗盘现象的经验研究表明,我国
股票收益率数据中确实存在着罗盘现象。本章还考察罗盘出现的影响因素,解
释了罗盘现象出现的原因,改进了Crack和Ledoit(1 996)的解释模型。
第三章中国股价行为自相关性与协整性研究,主要研究了中国股票市场价
格行为的相关性和协整性。本章首先研究了相关性的若干基本问题,然后分析
了相关性和相应金融理论之间的关系。在第三节简单研究了我国股价行为的动
态特性,主要分析了股票市场价格指数之间的相关性和协整性,得出结论认为
收益率之间相关系数高于价格指数相关系数,上海股市和深圳股市之间的相关
程度相当高。协整性研究表明对数价格指数序列都是单整的,其一阶差分序列,
也就是复合收益率序列都是平稳的;在上海股市和深圳股市成份指数之间、综
合指数之间分别存在着协整关系,而交叉指数之间则不存在协整关系。这表明
非流通股的存在严重影响了股票价格指数的动态行为。第四节主要研究了低频
收益率的自相关现象。论文先用历史比较法来研究不同时期收益率的自相关情
况,得出结论认为中国股票收益率自相关系数还是比较弱的;且随着时间推移,
自相关现象有进一步减弱的趋势。自相关情况的国际比较虽然表明中国股市自
相关性弱于国际成熟市场,但是未必得出中国股市目前随机性也强于对应国际
内容摘要3
甲...月..月旦旦旦旦,甲闷旦
股票市场的结论,并给出了简单的原因分析。第五节为了研究高频收益和低频
收益自相关情况是否遵循相同模式,分析了上海股市高频收益率的自相关性情
况。得出结论认为高频收益率中存在着非常明显的负低阶自相关现象;但随着
阶数增加,这种负自相关衰减非常迅速。本节最后给出了解释高频收益率自相
关现象的几种理论假说,并对自己提出的理论假说进
In recent decades years, Chinese economy has been a bright sight in the world economy. At the same time, Chinese stock market has made great development. However, there are many unharmonious phenomena in the performances of the' Chinese stock market. The specific economic background in which China is transferring from the plan economy to the market economy, and the development and accumulation of the western financial econometrics techniques and methods and those empirical application, all provide very valuable soil and tools, by which we can analyzes the price behavior of Chinese stock market. What are the statistical characteristics of Chinese stock market price behavior? Which principles do the price dynamic behaviors follow? What is the relationship between the Chinese stock price and the real economy? Which processes and models does the determination and discovery of the Chinese stock price follow? Etcetera. Because those questions not only come from the practice, but also have great theoretical significance, they are the cores of this dissertation, which examines those issues from a number of perspectives.With the comprehensive research on the foreign and domestic literature on stock price behavior, under the context in which our Chinese listed companies and investors are in the transition of Chinese economic system, with the tools of the western financial econometrics techniques, based on the relavent data from the Chinese stock market, this dissertation focuses on the empirical and theoretical research on the Chinese stock market price behavior, and analyzes the stylized facts in Chinese stock markets, at last advances some policy advices on the development of Chinese stock market.The fundamental methods in this dissertation are the techniques from the financial econometrics and the guiding modeling methodology. Besides, various methods are employed in the research process of this dissertation, including the combination of theoretical and empirical analysis, positive and normative analysis,
historical and logical analysis, quantitative and qualitative analysis. In this process, a good many of tables, figures and diagrams are also used in this dissertation.There is plenty of information included in the stock market prices, and the stock market prices are concerned with many aspects of the working of the stock market. This dissertation empirically examines the main stylized facts in Chinese stock prices behavior, and makes empirical researches on the determination or discovery of mechanism and theory of stock prices. This dissertation contains eight chapters:The Chapter One is the introduction part, comprising the advancing and defining of the question, a brief retrospect on the history and status quo of the study on the stock price behaviors. In the last, this chapter presents the whole thought way, research methods, the basic structure and main results and innovations.The section from the Chapter Two to the Chapter Four focuses on the static and dynamic statistical characteristics of Chin+ese stock prices. Based on the relevant theoretical research, the Chapter Two, on the static statistical characteristics of Chinese stock prices and returns, examines the statistical characteristics of the price index and the index returns, the statistical distribution of the impact of the trading price discreteness on the stock prices and returns, and the empirical research on the "compass rose" in the 2-dimension history in Chinese stock market. Our study suggests that the statistical distributions of the returns, of the price changes for tick data in a day or between days, are similar to the overseas stock markets. The discreteness can result in the phenomenon of price clustering, but the pattern is different from the phenomenon in NYSE. This chapter also documents the "compass rose" in Chinese stock returns, which is a universal phenomenon.Chapter Three, on the autocorrelation and cointegration in Chinese stock market, mainly explores the dynamic characteristics of Chinese stock price behavior, including the correlation,
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1.《中国人民银行统计季报》
2.《中国统计年鉴》
3.《中国证券期货统计年鉴》
4.证监会网站 (http://www.csrc.gov.cn)
5.中国资讯行 (http://www.bjinfobank.com)
6.分析家软件V4.08和中国股票市场交易数据库查询系统CSMAR2001 V2.0
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1.《中国人民银行统计季报》
2.《中国统计年鉴》
3.《中国证券期货统计年鉴》
4.证监会网站 (http://www.csrc.gov.cn)
5.中国资讯行 (http://www.bjinfobank.com)
6.分析家软件V4.08和中国股票市场交易数据库查询系统CSMAR2001 V2.0