發(fā)布時(shí)間：2018-06-18 09:31

  本文選題：股票收益率 + 市場(chǎng)微觀結(jié)構(gòu)　； 參考：《天津財(cái)經(jīng)大學(xué)》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(lái),中國(guó)證券市場(chǎng)已經(jīng)經(jīng)歷了20多個(gè)年頭。在這二十多年里,中國(guó)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(lái),同時(shí)也遇到過(guò)各種困難�？梢哉f(shuō)中國(guó)證券市場(chǎng)一路走來(lái),是相當(dāng)?shù)夭灰�。中�?guó)股市是一個(gè)新型的市場(chǎng),與國(guó)外成熟的資本市場(chǎng)相比,具有其獨(dú)特的特點(diǎn),比這些市場(chǎng)更加復(fù)雜,更加難以預(yù)測(cè)。中國(guó)股市在07年的牛市以后,經(jīng)歷了2008年的全球金融風(fēng)暴的襲擊,接著股市一路向下,上證指數(shù)一度跌破2000點(diǎn),雖然過(guò)去四年了,但中國(guó)股市仍然不景氣。 市場(chǎng)微觀結(jié)構(gòu)理論作為現(xiàn)代金融學(xué)中一個(gè)重要的新型分支,在幾次大的金融危機(jī)和震蕩后,被越來(lái)越多的人所關(guān)注。市場(chǎng)微觀結(jié)構(gòu)理論重在研究金融市場(chǎng)資產(chǎn)的定價(jià)過(guò)程及其結(jié)果,從而揭示微觀結(jié)構(gòu)在金融資產(chǎn)價(jià)格形成的過(guò)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(gè)階段。股票收益率可以被定義為市場(chǎng)微觀結(jié)構(gòu)的特征變量,它已成為很多學(xué)者研究的對(duì)象。運(yùn)用高頻數(shù)據(jù)研究中國(guó)股市的收益率的日內(nèi)模式,可以了解股票價(jià)格在完整的一個(gè)交易日內(nèi)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(jù)。所以股票收益率的日內(nèi)模式研究具有現(xiàn)實(shí)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(jià)格作為研究對(duì)象運(yùn)用面板模型來(lái)研究中國(guó)股票收益率的日內(nèi)模式,得出了我國(guó)股票市場(chǎng)日內(nèi)模式為“W”型,即當(dāng)期股票收益率與其前期收益率之間是負(fù)相關(guān)的。 股市的日內(nèi)模式表現(xiàn)形式很多,買(mǎi)賣(mài)價(jià)差和訂單流不平衡作為兩個(gè)新的因素被提出,隨著電子信息網(wǎng)絡(luò)的高速發(fā)展,這兩個(gè)因素也能夠通過(guò)證券市場(chǎng)的交易數(shù)據(jù)計(jì)算出來(lái)。這兩個(gè)因素是如何對(duì)股票收益率的日內(nèi)模式產(chǎn)生影響相信會(huì)成為一個(gè)熱點(diǎn)。
[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(xué)位授予單位】：天津財(cái)經(jīng)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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