资金因素对A股指数变化影响的实证分析  

Empirical Analysis of The Change of A Stock Price Index Affected by Capital Factor

作　　者：李鑫[1] 李海燕[1] 

机构地区：[1]河北金融学院,河北保定071051

出　　处：《廊坊师范学院学报（自然科学版）》2015年第2期82-85,共4页Journal of Langfang Normal University(Natural Science Edition)

基　　金：河北金融学院应用性本科毕业论文(设计)支持计划项目

摘　　要：股价指数短期变动的原因是资金的推动,找到与股票市场相关的资金面因素指标并建立模型,就可以通过监测各个因素的变化来预测股指的变化。通过筛选和实证分析,认为A股指数与货币净投放、人民币汇率、国债指数、隔夜国债逆回购利率、上海银行间隔夜拆借利率之间存在显著量化关系。The short-term change of stock price index is caused by the capital flow. If we can find the capital factors relative to the stock market, and construct a quantitative model, we can monitor the change of these factors to forecast the change of stock price index. After sifting, we think that the A stock price index is quantitatively relative to net supply of money, RMB foreign exchange rate, treasure bond index, over-night repurchase interest rate of treasure bond and ShI- BOR.

关 键 词：资金因素 股价指数 阈值降噪 相关性分析 协整模型 

分 类 号：F830.91[经济管理—金融学]