摘要
从股票市场的量价规律出发提出股票的均衡价格、股价塑性等概念,建立包含高频交易数据的股价塑性理论的计量经济模型.用样本股票的数据对股价塑性模型进行检验和实证分析,检验结果表明,除了拟合优度R2稍差之外,解释变量的t检验和方程的F检验以及模型的经济学检验结果都较理想,实证分析结果表明股票价格的变化具有塑性的特征.
This paper introduces some new concepts, such as equilibrium price and the price plasticity of stock according to the price-volume relation of stocks. A stock price plasticity model including high-frequency trading data is established by econometrical methods to analyze the theory of plasticity of stock price. High-frequency data are used to test the econometric model estab- lished about stock price plasticity. The results reveal that stock price is characterized by plasticity, the t-test and the F-test and the economic test results are satisfactory, the R2 test is acceptable but not very satisfactory.
出处
《哈尔滨商业大学学报（自然科学版）》
CAS
2005年第6期806-810,共5页
Journal of Harbin University of Commerce：Natural Sciences Edition
关键词
高频交易数据
股价塑性模型
量价关系
high-frequency data
stock price plasticity model
price-volume relation
