股票市盈率波动有偏性对投资者股票交易量的影响研究--基于沪深300指数  

A Study on the Impact of Bias in Stock P/E Ratio Volatility on Investors’Stock Trading Volume--Based on the Shanghai and Shenzhen 300 Index

作　　者：江海潮[1] 范晨宇 Jiang Haichao;Fan Chenyu(Business School of Hunan University of Science and Technology,Xiangtan Hunan 411201,China)

机构地区：[1]湖南科技大学商学院,湖南湘潭411201

出　　处：《衡阳师范学院学报》2024年第2期54-60,共7页Journal of Hengyang Normal University

摘　　要：有着独特波动规律的股票市盈率,会对投资者的股票交易产生影响。从市盈率波动有偏性的角度出发,以沪深300指数的市盈率数据为研究样本,构建回归模型,实证检验市盈率波动有偏性对股票交易量的影响,结果表明:沪深300指数市盈率波动相对于正常波动水平存在明显右偏性;沪深300指数市盈率波动的持续时间较长且具有非对称性;沪深300指数市盈率波动右偏性对股票成交量具有显著的反向影响,并且这种影响受到经济增长、出口量、利率、汇率、居民消费价格指数和货币供应量的非对称约束。要稳定股市交易量,就需要综合考虑上述因素的影响,并根据市场变动灵活调整政策措施。The price-to-earnings ratio of stocks has a unique fluctuation pattern,which has an impact on investors’stock trading.From the perspective of P/E ratio skewness,this paper takes the P/E ratio data of CSI 300 Index as a research sample to construct a regres⁃sion model to empirically test the impact of P/E ratio fluctuation on stock trading volume.The result finds that the P/E ratio fluctuation of CSI 300 Index has obvious right bias relative to the normal volatility level,the duration of P/E ratio fluctuation in CSI 300 Index is long and asymmetrical,and the right-biased P/E ratio fluctuation of CSI 300 Index has a significant inverse impact on stock trading vol⁃ume.And this impact is affected by economic growth,asymmetric constraints on export volume,interest rates,exchange rates,consum⁃er price index and money supply.To stabilize the trading volume of the stock market,it is necessary to comprehensively consider the impact of the above factors and flexibly adjust policy measures according to the market changes.

关 键 词：市盈率 交易量 波动有偏性 ARCH模型 

分 类 号：F832.5[经济管理—金融学]