摘要
首先基于股票价格和成交量,根据股票的量价规律,分析了股价波动的塑性性质;然后使用计量经济学方法建立描述股价波动的塑性模型,包括股价塑性基本模型、基本模型的一阶自回归模型、幂指数模型及幂指数模型的一阶自回归模型,基于12支样本股对这些模型进行参数估计和检验;最后对4种形式的股价塑性模型进行了总结。由4种模型均能够通过经济学检验和统计学检验可知股价波动具有塑性性质,且幂指数模型描述股价塑性较为科学、合理。
According to the price-volume laws of stock, the plasticity property of the stock price fluctuation is studied. Then stock price plasticity models, including a basic model, a power exponent model and one step auto regression model are established by econometrical methods and examined through twelve sample stocks. Four stock price plasticity models by econometrical examination reveal that stock price is characterized by plasticity and the power exponent model can describe the plasticity nature of fluctuation better.
出处
《运筹与管理》
CSCD
2006年第3期129-136,共8页
Operations Research and Management Science
关键词
金融学
量价关系
计量经济学
股价塑性模型
finance
price-volume relation
Econometrics
stock price plasticity model
