我国股票波动影响因素的实证分析
本文以金融学、投资学、统计学以及计量经济学等学科理论为指导，采用最新的统计数据，主要研究与股票市场波动性有关的内外部因素。本文首先回顾了近年来国内外关于宏观因素、微观因素与股票市场波动性相互关系的研究成果。在此基础上，确定宏微观两方面的主要影响因素，宏观方面我们确定的影响因素有宏观经济状况、货币政策因素和股票市场因素，微观方面我们确定的影响因素是股票发行公司的经营状况、公司的资金结构及规模、股利政策。然后，主要借助Eviews7.0、excel分别进行宏观和微观方面的实证分析。宏观方面，被解释变量选取的是上证综合指数，解释变量有10个，最终确定了工业增加值增长率、我国居民消费价格指数、利率、股市成交量以及货币供应量M1五个变量，发现股市成交量对股价波动影响最大，说明了交易量对股价的影响不容小觑，也印证了价随量涨这句话，我国工业增加值增长率对股价波动影响最小，说明产出水平对股价影响效力不是很大，我国经济发展与股价波动同步性不是很强。微观方面，从各个行业中随机挑选120家上市公司作为研究对象，选取2006-2014年数据为参考依据，确定被解释变量为股价，解释变量为每股红利、流动比率、总资产收益率和资产负债率，采用面板模型进行实证分析。最后，根据前面所做研究，从政府，投资者以及上市公司三个角度提出相应政策建议。
毕业论文关键词：股价波动 宏观因素 微观因素
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.
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