本文選題：股票收益率 + 市場微觀結構�。� 參考：《天津財經大學》2013年碩士論文

【摘要】：自上海證券交易所和深圳證券交易所成立以來,中國證券市場已經經歷了20多個年頭。在這二十多年里,中國證券業(yè)取得了很大的發(fā)展,法律、法規(guī)制度變得健全起來,同時也遇到過各種困難�？梢哉f中國證券市場一路走來,是相當地不易。中國股市是一個新型的市場,與國外成熟的資本市場相比,具有其獨特的特點,比這些市場更加復雜,更加難以預測。中國股市在07年的牛市以后,經歷了2008年的全球金融風暴的襲擊,接著股市一路向下,上證指數一度跌破2000點,雖然過去四年了,但中國股市仍然不景氣。 市場微觀結構理論作為現(xiàn)代金融學中一個重要的新型分支,在幾次大的金融危機和震蕩后,被越來越多的人所關注。市場微觀結構理論重在研究金融市場資產的定價過程及其結果,從而揭示微觀結構在金融資產價格形成的過程中的作用,其中存貨模型和信息模型是該理論發(fā)展的兩個階段。股票收益率可以被定義為市場微觀結構的特征變量,它已成為很多學者研究的對象。運用高頻數據研究中國股市的收益率的日內模式,可以了解股票價格在完整的一個交易日內的收益率的變化情況,可以為投資者提供投資的建議和為政策制定者提供依據。所以股票收益率的日內模式研究具有現(xiàn)實意義。 選取有代表性的126只股票,從2012年6月至2013年2月作為樣本區(qū)間,以每30分鐘的股票價格作為研究對象運用面板模型來研究中國股票收益率的日內模式,得出了我國股票市場日內模式為“W”型,即當期股票收益率與其前期收益率之間是負相關的。 股市的日內模式表現(xiàn)形式很多,買賣價差和訂單流不平衡作為兩個新的因素被提出,隨著電子信息網絡的高速發(fā)展,這兩個因素也能夠通過證券市場的交易數據計算出來。這兩個因素是如何對股票收益率的日內模式產生影響相信會成為一個熱點。
[Abstract]:Since the establishment of Shanghai Stock Exchange and Shenzhen Stock Exchange, China's securities market has experienced more than 20 years. In the past twenty years, China's securities industry has made great progress, laws and regulations have become sound, but also encountered a variety of difficulties. It can be said that China's securities market has come all the way, is quite difficult. Chinese stock market is a new type of market. Compared with foreign mature capital market, Chinese stock market has its unique characteristics, more complex and more difficult to predict than these markets. After a bull run in 2007, after a global financial storm in 2008, the Shanghai stock index fell below 2000, but after four years, the Chinese stock market remained depressed. As an important new branch of modern finance, market microstructure theory has been paid more and more attention after several financial crises and shocks. The market microstructure theory focuses on the study of the pricing process and its results of the financial market assets, thus revealing the role of the microstructure in the formation of the financial assets price. The inventory model and the information model are the two stages of the development of the theory. Stock yield can be defined as the characteristic variable of market microstructure, which has been studied by many scholars. Using high-frequency data to study the intraday model of Chinese stock market yield, we can understand the change of stock price in a complete trading day, can provide investors with investment advice and provide basis for policy makers. Therefore, the study of the intraday model of stock return has practical significance. Select 126 representative stocks, from June 2012 to February 2013 as sample interval, take stock price every 30 minutes as the research object, use panel model to study the intraday model of Chinese stock yield. It is concluded that the intraday model of China's stock market is "W", that is, the current stock return is negatively correlated with its early return. There are many intraday modes in the stock market. As two new factors, the spread of buying and selling price and the imbalance of order flow are proposed. With the rapid development of electronic information network, these two factors can also be calculated through the trading data of the stock market. How these two factors affect the intraday model of stock returns is believed to be a hot spot.
【學位授予單位】：天津財經大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

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