交易量加权平均价格有效性的实证研究
发布时间：2021-11-10 17:55
股票市场的实证研究和交易实践中,人们往往使用一个交易日的收盘价来代表这一天股票的价格,并且这样的做法已经成为学术界和证券行业的惯例。本文收集了2007年5月8日至2010年11月29日沪深两市所有股票的交易数据,并对交易量加权平均价格和收盘价分别作为股票日价格的有效性进行了对比实证研究。通过本文的论证,本文认为相比于日收盘价,采用日内交易量加权平均价格能够更加有效真实的反应股票的价格运动。研究发现交易量加权平均价格体系下的日收益率频率分布更加平整,其日收益率的分布中呈现出高峰厚尾的平滑分布,而收盘价日收益率的分布在一些整数区域出现有规律的缺失和聚集,这说明交易量加权平均价格不易像收盘价那样容易在一个时点被相对微小的异常交易量所操作或扭曲,进而不会以某一时间的扭曲价格代表当日股票的价格。第二,某一历史价格的交易量越大,这一价格作为未来价格基准就更加的合理,交易量加权平均价格是交易区间内的交易平均价格,因此作为未来价格的基准就更加合理;本文关于动量效应显著性的对比研究支持了这一观点,本文运用Fama-Macbeth回归和面板数据回归发现:交易量加权平均价格的日动量效应回归参数远比其在收盘价...
【文章来源】：上海交通大学上海市 211工程院校 985工程院校 教育部直属院校
【文章页数】：58 页
【学位级别】：硕士
【文章目录】：
Abstract
摘要
Chapter 1 Introduction
1.1 Research objectives
1.2 Summary of the findings in this dissertation
1.3 Summary of conclusions
Chapter 2 Literatures
2.1 Introduction of volume-weighted average price
2.2 Asset pricing models
2.3 Fundamental factors
2.4 Momentum
2.5 VWAP as efficient stock price measure
Chapter 3 Data sources and variables
3.1 Data sources
3.2 Daily stock price and returns
3.2.1 Daily stock price
3.2.2 Daily Stock return
3.3 Portfolios
3.3.1 Classification according to market cap
3.3.2 Classification according to book-market-ratio
3.3.3 Portfolios construction
3.3.4 Size factor (SMB)
3.3.5 Book-to-market factor (HML)
Chapter 4 Comparative studies
4.1 Frequency distributions of the returns
4.2 Daily momentum regressions
4.2.1 Fama-Macbeth regression
4.2.2 Fama-Macbeth results for testing daily momentum effect
4.2.3 Panel regression results for testing daily momentum effect
4.2.4 Conclusion for the daily momentum
Chapter 5 Robustness Tests
5.1 Portfolios construction for the testing
5.2 Significance level of the estimators
5.3 Excess returns for each portfolio
5.4 Analysis for the regression results
Chapter 6 Conclusions
6.1 Findings in the dissertation
6.2 Conclusions
6.3 Suggestions based on the conclusions
Bibliography
Acknowledgments
附件
本文编号：3487684
【文章来源】：上海交通大学上海市 211工程院校 985工程院校 教育部直属院校
【文章页数】：58 页
【学位级别】：硕士
【文章目录】：
Abstract
摘要
Chapter 1 Introduction
1.1 Research objectives
1.2 Summary of the findings in this dissertation
1.3 Summary of conclusions
Chapter 2 Literatures
2.1 Introduction of volume-weighted average price
2.2 Asset pricing models
2.3 Fundamental factors
2.4 Momentum
2.5 VWAP as efficient stock price measure
Chapter 3 Data sources and variables
3.1 Data sources
3.2 Daily stock price and returns
3.2.1 Daily stock price
3.2.2 Daily Stock return
3.3 Portfolios
3.3.1 Classification according to market cap
3.3.2 Classification according to book-market-ratio
3.3.3 Portfolios construction
3.3.4 Size factor (SMB)
3.3.5 Book-to-market factor (HML)
Chapter 4 Comparative studies
4.1 Frequency distributions of the returns
4.2 Daily momentum regressions
4.2.1 Fama-Macbeth regression
4.2.2 Fama-Macbeth results for testing daily momentum effect
4.2.3 Panel regression results for testing daily momentum effect
4.2.4 Conclusion for the daily momentum
Chapter 5 Robustness Tests
5.1 Portfolios construction for the testing
5.2 Significance level of the estimators
5.3 Excess returns for each portfolio
5.4 Analysis for the regression results
Chapter 6 Conclusions
6.1 Findings in the dissertation
6.2 Conclusions
6.3 Suggestions based on the conclusions
Bibliography
Acknowledgments
附件
本文编号：3487684
本文链接：https://www.wllwen.com/jingjilunwen/jinrongzhengquanlunwen/3487684.html
教材专著
