基于中国股指开盘价差与缺口的统计分析和实证研究

Empirical Study of Opening Price Gaps and Price Disparities in Chinese Stock Indices

本文采用统计分析、假设检验和回归模型,基于历史数据深入探讨了中国股市指数中的开盘价差率和缺口现象的特征和相关假说,并验证了13个相关假说。研究结果发现,价格缺口的方向性和开盘价差率的变动幅度与市场的某些关键特性存在显著的相关性,缺口现象对当日成交量和成交额变化率也存在显著影响。此外,通过选股回测验证了开盘价差率作为选股因子的有效性。本文为理解股市行为提供了新的视角,对投资决策和市场分析具有重要意义。

This study employs statistical analysis,hypothesis testing,and regression modeling to delve into the characteristics of opening price spreads and gap phenomena in the stock indices of China's Mainland's stock market based on historical data.It rigorously tests related hypotheses.The findings reveal a significant correlation between the directionality of price gaps and the fluctuation range of opening price spreads with certain key market characteristics.Moreover,the gap phenomena have a significant impact on the daily volume and turnover rate changes.Additionally,the effectiveness of using opening price spread as a stock selection factor was validated through back-testing.This research offers a new perspective on understanding stock market behavior,holding significant implications for investment decisions and market analysis.