基于GMM评价模型的科创板估值研究

Research on Valuation of Science and Technology Board Based on GMM Evaluation Model

该文基于对中国A股市场和美国NASDAQ市场中流动性数据和基本面数据的综合研究,采取了改进的GMM多参评价模型多评价参数定量分析两市场间指标的关系,引入ILLIQ非流动性指标并建立7个评价参数,并通过J-statistics检验,进行描述性分析以及差异性分析,类比两市场差异。为评估预测中美两市场未来基本面指标和流动性指标,采用基于PSO算法来优先寻找初始股价及收益计算数据,对两类评价指标进行预测分析,同时进行敏感性分析充分验证了PSOBP模型的准确性、稳定性。

Based on a comprehensive study of the liquidity data and fundamental data in the Chinese A-share market and the US NAS DAQ market,this paper adopts an improved GMM multi-parameter evaluation model and multiple evaluation parameters to quantitative ly analyze the relationship between the indicators of the two markets.The ILLIQ non-liquidity indicator is introduced.And establish 7 evaluation parameters,and through J-statistics test,perform descriptive analysis and difference analysis,and compare the differences between the two markets.In order to evaluate and predict the future fundamental indicators and liquidity indicators of the Chinese and American markets,the PSO algorithm is used to preferentially find the initial stock price and return calculation data.The two types of evaluation indicators are predicted and analyzed,and the sensitivity analysis is performed to fully verify the PSO-BP Model accuracy and stability.