股票收益率方向预测研究:两极总比一极好——基于B-CARS模型的实证分析  

Research on the prediction of stock return direction: Two extreme prices is excellent to one-Empirical analysis based on B-cars model

作　　者：樊鹏英[1] 韩嘉成 谢海滨 郭娜 FAN Pengying;HAN Jiacheng;XIE Haibin;GUO Na(School of Economics,Beijing Technology and Business University,Beijing 100048,China;Chinese School of Banking and Finance,University of International Business and Economics,Beijing 100105,China)

机构地区：[1]北京工商大学经济学院,北京100048 [2]对外经济贸易大学中国金融学院,北京100105

出　　处：《系统工程理论与实践》2025年第1期93-108,共16页Systems Engineering-Theory & Practice

基　　金：国家社会科学基金(22BJY259);国家自然科学基金(72271055,71971004)。

摘　　要：股票市场作为金融市场的重要组成部分,股票收益率的研究一直是学术界的热点.论文基于股票最高价和最低价两极值信息提出一种新的股票收益率分解方法,将股票收益率方向预测转化为股价上升比率是否大于1/2的问题,进而基于B-CARS模型来预测股票收益率的方向.实证分析以标普500指数和沪深300指数为研究对象,对股票收益率方向进行估计预测并构建投资策略,将其与基于最高价或最低价单一极值信息的B-CARS模型和传统的logistic模型、支持向量机进行对比分析.实证结果表明:基于两极值信息的B-CARS模型在股票市场有较好的预测能力,且优于单一极值信息的B-CARS模型和常用预测模型,说明股票极值信息可以为股票收益率方向的预测提供更多的有效信息进而提高预测准确性,该方法可以很好地应用于股票收益率方向的预测中.As an important component of the financial market,the research on stock returns has always been a hot topic in the academic community.The paper proposes a new method for decomposing stock returns based on the extreme price information of high and low prices of stocks,which transforms the direction prediction of stock returns into the question of whether the stock price rise ratio is greater than 1/2.Furthermore,we predict the direction of stock returns based on B-CARS.The paper is based on the S&P 500 index and the CSI 300 index to estimate and predict the direction of stock returns and compares it with the B-CARS model based on single extreme price information and traditional models.The empirical results indicate that the B-CARS model based on two extreme value information has good predictive ability in the stock market and is superior to other models.The extreme price information of stocks can provide more effective information for predicting the direction of stock returns,thereby improving prediction accuracy.This method can be well applied to predict the direction of stock returns.

关 键 词：收益率方向 B-CARS模型 单一极值信息 两极值信息 

分 类 号：F830.91[经济管理—金融学]