主板市场信息交易对股票超额收益的影响
关键词 主板市场 超额收益率 知情交易概率（PIN） 换手率 三因子
Title The influence of excess earnings information of the stock trading on main market
Abstract
There are lots of actors affecting stock returns in the securities market of our country , from the macro economy management to industry status and enterprise itself.This paper selects relatively stable 300 stocks on the main market in 2013 as sample, through cross section data analysis, regression analysis and empirical research, explore market information probability of informed trading (PIN), stock liquidity in (with) the impact on the stock returns. Verify the proposed two hypotheses: the higher the probability of informed trading (PIN), the higher requirements of stock yield; The higher the turnover rate, the higher the liquidity, the expected return of the stock will be lower. Study shows that the analysis results of contrary to the first hypothesis, conflicts with the second assumption is that the difference in the results and the theoretical and finally the results are analyzed in detail, found the problems in the process of research and improvements and provide reasonable Suggestions for our country's stock market.
Keywords Main market Excess yields Probability of informed trading Turnover rate Three factors
毕业论文外文摘要
目 次
1 引言 1
2 文献综述 2
2.1 PIN的相关研究 2
2.2 流动性指标——换手率 4
3 研究设计 6
3.1 假设 6
3.2 样本选择及数据来源 5
3.3 变量选择及其度量 7
3.3.1 股票流动性的度量指标的处理方法 7
3.3.2 PIN的处理方法 7
3.3.3 三因子的处理法 11
3.4 模型设定 11
3.5 研究方法 11
4 实证分析 12
4.1 模型的回归 12
4.2 回归结果分析 12
结论 14
致谢 16
参考文献 17
1 引言
改革开放以后，我国经济进入高速发展阶段，市场经济体制逐步完善，金融市场也日趋规范。在全球化的大潮中，我国的资本市场迅速发展，股票市场更是顺应经济全球化浪潮蓬勃发展。股市的日益完善也是大势所趋：一方面，资金需求者可以通过繁荣规范的股票市场筹集到资金；另一方面，广大投资者可以通过股票市场进行投资，获取投资收益；更重要的是，股票市场是宏观经济的晴雨表，对于我国的经济发展，制度的完善具有举足轻重的地位。因此，股票市场为经济资源的高效合理配置提供了重要平台。