| 股票价格波动的塑性性质及模型探讨 |
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| 引用本文： | 翟爱梅,王雪峰,何华庆,冯英浚.股票价格波动的塑性性质及模型探讨[J].运筹与管理,2006,15(3):129-136. |
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| 作者姓名： | 翟爱梅 王雪峰 何华庆 冯英浚 |
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| 作者单位： | 1. 中山大学,国际商学院,广东,珠海,519001
2. 哈尔滨工业大学管理学院,黑龙江,哈尔滨,150001 |
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| 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。
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| 关 键 词： | 金融学 量价关系 计量经济学 股价塑性模型 |
| 文章编号： | 1007-3221(2006)03-0129-08 |
| 收稿时间： | 10 20 2005 12:00AM |
| 修稿时间： | 2005年10月20 |
Study on Plasticity Property of Stock Price Fluctuation and Its Model |
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| ZHAI Ai-mei,WANG Xue-feng,HE Hua-qing,FENG Ying-jun.Study on Plasticity Property of Stock Price Fluctuation and Its Model[J].Operations Research and Management Science,2006,15(3):129-136. |
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| Authors: | ZHAI Ai-mei WANG Xue-feng HE Hua-qing FENG Ying-jun |
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| Institution: | 1. Intemational Business School, Sun Yat sen Unlnversiey Zhuhei 519001, China ; 2. School of Management, Harbin Institute of Technology, Harbin 150001, China |
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| Abstract: | 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. |
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| Keywords: | finance price-volume relation Econometrics stock price plasticity model |
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