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我國股票波動影響因素的實證分析

時間:2019-04-15 21:25來源:畢業論文
以金融學、投資學、統計學以及計量經濟學等學科理論為指導,采用最新的統計數據,主要研究與股票市場波動性有關的內外部因素。本文首先回顧了近年來國內外關于宏觀因素、微觀

摘要:我國正處于經濟增長方式轉型的階段,目前,我國經濟發展的主要任務是調整經濟結構、轉換經濟增長模式。但是,由于我國股市建立時間短,股票市場機制正處于完善階段,所以不能有效發揮市場資源配置的功能。股市的運行與經濟的發展脫節,股指走勢牛短熊長,投資者尤其是散戶的合理收益得不到保障。因此,系統性的研究影響我國股價的主要因素,有針對的進行改革,對于我國經濟發展,具有重大的現實意義,并且有利于防患于未然,進一步促進我國股票市場的平穩健康發展。34588
本文以金融學、投資學、統計學以及計量經濟學等學科理論為指導,采用最新的統計數據,主要研究與股票市場波動性有關的內外部因素。本文首先回顧了近年來國內外關于宏觀因素、微觀因素與股票市場波動性相互關系的研究成果。在此基礎上,確定宏微觀兩方面的主要影響因素,宏觀方面我們確定的影響因素有宏觀經濟狀況、貨幣政策因素和股票市場因素,微觀方面我們確定的影響因素是股票發行公司的經營狀況、公司的資金結構及規模、股利政策。然后,主要借助Eviews7.0、excel分別進行宏觀和微觀方面的實證分析。宏觀方面,被解釋變量選取的是上證綜合指數,解釋變量有10個,最終確定了工業增加值增長率、我國居民消費價格指數、利率、股市成交量以及貨幣供應量M1五個變量,發現股市成交量對股價波動影響最大,說明了交易量對股價的影響不容小覷,也印證了價隨量漲這句話,我國工業增加值增長率對股價波動影響最小,說明產出水平對股價影響效力不是很大,我國經濟發展與股價波動同步性不是很強。微觀方面,從各個行業中隨機挑選120家上市公司作為研究對象,選取2006-2014年數據為參考依據,確定被解釋變量為股價,解釋變量為每股紅利、流動比率、總資產收益率和資產負債率,采用面板模型進行實證分析。最后,根據前面所做研究,從政府,投資者以及上市公司三個角度提出相應政策建議。
源¥自%六^^維*論-文+網=www.aftnzs.live

畢業論文關鍵詞:股價波動 宏觀因素 微觀因素
 An Empirical Analysis of Factors Affecting the stock price volatility
Abstract:Nowadays,China's economic growth mode transformation is being underway, the main task at the present stage of economic development is to adjust the economic structure and transform the economic growth mode. In this particular historical period, the urgent need for providing services to the real economy is to develop China’s stock market, however, the China’s stock market’s set-up time is short , the stock market mechanism is being in perfect stage, all its function has great limitations and can not effectively play the resource allocation function.The development of the stock market run out of touch with the economic and the stock's long bear trend with cow short,so, the majority of investors, especially retail investors’ reasonable return is not guaranteed. Therefore, there is a great significance of economic development to study  the main factors affecting the share price systematically and then reform,also,to study the main affecting factors is conducive to preventive measures and further promote the stable and healthy development of China's stock market.
In this paper, we use theoretical discipline finance, investment, statistics and econometrics as a guide, using the latest statistical data, studying the main internal and external factors related to stock market volatility.Firstly,This paper reviews the research achievements at home and abroad in recent years about the macroeconomic factors, microeconomic factors and stock market volatility mutual relations. On this basis, we find the main factors of both macro and micro, macro factors we identified is the main macroeconomic situation, macroeconomic policy factors as well as the stock market factors, factors identified microscopic aspects of our stock of is the issuing company operating conditions ,the company's capital structure and scale and the pidend policy. Then, mainly using  Eviews7.0, excel to do empirical analysis about macro and micro aspects. Macro level, the dependent variable selected is the Shanghai Composite Index, there are 10 explanatory variables, and ultimately determine the growth rate of industrial added value, China's consumer price index, interest rates, stock market turnover and the M1 five variables, we found the stock market Volume biggest impact on the stock price is volatility, and influence of the trading volume on stock prices should not be underestimated, also confirmed the price rise with the amount of the sentence, the growth rate of industrial added value of the minimum impact on the stock price volatility, indicating the level of output impact on stock prices effect is not large, China's economic development and volatility synchronicity is not very strong. The micro level, we randomly selected 120 listed companies from various industries as research objects and selected 2006--2014 year data for the reference, explanatory variables determine the share price, the pidend per share for the explanatory variables, current ratio, return on assets and assets debt ratio, empirical analysis using panel data model. Finally, we recommend appropriate policy recommendations based on research done in front. 我國股票波動影響因素的實證分析:http://www.aftnzs.live/jingji/20190415/32129.html
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