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论文编号：	3254
作者编号：	2120092362
上传时间：	2011/6/6 11:22:58
中文题目：	中国股票市场股指回归特性与基本面分析效果检验
英文题目：	The research on the reversion characteristics of China''s stock index and efficiency of fundamental analysis
指导老师：	余娟
中文关键字：	股价指数;均值回归;基本面分析;虚拟变量
英文关键字：	Mean Reversion;Fundamental Analysis;Dummy Variables;Stock Price Index
中文摘要：	中国证券市场发展已有二十余年，我国股票市场经历了从起步到逐步成熟的成长阶段，市场规模逐渐扩大。股票市场的发展这不仅表现在上市公司和投资者数量的增多，更表现在证券市场信息披露制度的不断完善，金融机构服务质量的不断提高和金融创新的不断出现，而股票市场的成熟程度取决于股票价格的稳定性和价格与内在价值相符程度。在前期对于股票价格变动的研究中，有基于有效市场假说理论进行有效性分析，也有基于宏观或者微观的变量对股票价格变动进行解释，还有对股票价格走势的均值回归特性进行实证分析。很多研究得出结论认为之所以实证分析效果不理想是因为我国股票市场起步较晚，发展还不成熟或者说波动周期还没有完全形成。 从研究思路来看，本文主要包括三个部分，即引出本文研究目的和研究方法的文献综述部分，证明本文观点的实证分析部分和反映本文政策主张的结论和政策建议部分。具体来说，本文以基本面分析的效果检验为手段，以平稳性检验和均值回归分析为计算方法，以股票价格的变动为研究对象对中国股票市场的成熟程度以及股票市场与实体经济的联动性进行检测。为了更加全面地分析股票的内在价值，本文从宏观、中观和微观三个层面选取变量，以宏观和微观的六个指标对作为反映股票价格变动的股价指数进行回归。同时为了反映属性变量对于股价变动的影响，本文采用虚拟变量均值回归分析的方法进行测定。通过本文的实证研究，可以得出股票价格均值回归变动的结论并且直观地看到基本面分析对于股票价格变动的解释程度。同时基于行业数据的虚拟变量回归分析，本文提出了行业因素对于股票价格影响不显著的观点，本文认为这是由于生产要素在资本市场的自由流动，这一点区别于实体经济中的行业因素，此外机构投资者分散风险而进行的投资组合往往跨越多个行业，这也在一定程度上抹平了行业股票价格之间的差异性。综合文献综述、理论回顾和实证分析，本文结合现实情况得出了最终的结论，并且根据实证分析中发现的问题和现实情况，提出了政策建议。
英文摘要：	The development of China's stock market has been more than twenty years, from fresh to mature stage with the market gradually expanding. The growth of the stock does not only means the more and more listed companies and investors, but also the improved information disclosure system, better service of the financial institutions and continuous financial innovation. The extent of stock market’s maturity depends on price stability and price level consistent with the intrinsic value. In early studies on stock price, there is analysis based on efficient market hypothesis, but also on the macro or micro variables which explain stock price movements, as well as the mean value of stock price by empirical analysis. Many studies have concluded that the empirical analysis is not ideal for the stock market in China is not mature enough or for the period has not yet fully formed. The methodology of this paper consists of three parts, the literature review and the empirical analysis part, the conclusion part with policy proposals. Specifically, this paper tests China’s stock market’s maturity and the linkage between stock market and economic development by means of testing the effect of fundamental analysis by empirical analysis of stationarity tests and mean reversion with reason of stocks changes as the research object. To analyze stock's intrinsic value comprehensively, this paper select six variables from macro, meso and micro levels for the mean reversion, while checking out the how theses variables changes of stock price .Thorough empirical study, the mean reversion is concluded and it can be seen how fundamental analysis explains the stock price changes. Meanwhile, based on the method of dummy variable of industrial statistics regression analysis, this paper presents that the industry factor for stock prices was not significant in the price changes, because production factors can be invested in any industries without any barriers which exists in the real economy. In addition, to minimize the investment risk，institutional investors often diversify their investment across industries, which to some extent, erase the difference of the stock prices between industries. Based on literature review, theoretical review and empirical analysis, this paper gets the final conclusion with the consideration of reality and proposes the advice about policy improvement.
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