导　　师： 宋玉臣

学科专业： 020204

授予学位： 硕士

作　　者： ;

机构地区： 吉林大学

摘　　要： 价格发现是股票市场的一个基本功能，它决定了资源优化配置和反映功能是否有效，也标志着股票市场的成熟完善程度。价格发现是指在市场中由于供求双方的相互作用，使得一定数量和质量的商品在某一时间、地点达成交易均衡价格的动态过程。在一个市场中，随机产生的新信息会透过供求关系和交易行为反映到资产的价格上，这个过程便实现了价格发现。这一过程中，股票交易参与者众多，买家和卖家同时在一个高透明度的公开竞争市场上集中交易自由竞价。也就是说,价格发现是找寻一个均衡价格的过程。 然而现实情况是价格经常偏离其平衡位置。当价格偏离内在价值时，股票市场会通过自身的调节来实现价格发现功能，使股票价格向其内在价值回归。均值本身就是证券的内在价值，它反映了一定时间长度内市场对证券价格的承认。因此检验股票是否具有均值回归特征就可以证明股票市场是否具有价格发现功能。若股票价格在长期向内在价值回归，则说明股票市场具有发现价格的功能，若股票价格在长期偏离其内在价值，即说明股票市场不具有发现价格的功能。本文运用均值回归理论和平滑转换自回归模型对中国证券市场是否具有价格发现功能这一问题进行实证研究。 本文以沪深300指数、上证综合指数、深证综合指数、创业板指数和中小板指数为代表，用非线性的平滑转换自回归模型（STAR模型）分别对上述五个指数进行均值回归检验，从而判断中国股票市场是否具有价格发现功能。结果表明沪深300指数、上证综合指数、深证综合指数、创业板指数和深证中小板指数在样本区间内均呈现出非均值回归特征，因此本文得到了中国股票市场不具有价格发现基本功能的结论，这表明我国的证券市场仍不完善，市场成熟度有待提高。 Price discovery is a basic function of the stock market. It determines whether theoptimal allocation of resources and reflect function is effective, and also marks thedegree of the stock market maturity. Price discovery is defined as a dynamic processto make an equilibrium price in the market by certain quantity and quality of thegoods at a time, due to the interaction of supply and demand. In a market, newinformation will be randomly reflected on asset prices through supply and demandand trading behavior. The process realizes the price discovery. A deal of buyers andsellers participate in a competitive market transparency at the same time for freedom.That is to say, the price discovery is the process of finding an equilibrium price. When price is deviated from the intrinsic value of the stock, the market will beadjusted by itself to realize the price discovery function, to make the price of thestock return to its intrinsic value. Average price itself is the intrinsic value of thesecurity and it reflects the admission of a security price within the market for a certainlength of time. So we can prove whether there is price discovery in the stock marketfunction by checking whether stocks have mean reversion character. If the stock pricereturns to its intrinsic value in the long run, it proves that the stock market has thefunction of price discovery. However, if stock price is deviated from its intrinsic valuefor a long time, it proves that the stock market does not have price discovery function.In this paper, we use the mean reversion theory and nonlinear model to study that whether there is price discovery function in China's securities market. We take the csi300index, the composite index of Shanghai, and composite index of Shenzhen, thegrowth enterprise index and the small and medium-sized plate index asrepresentatives, and use nonlinear model of smooth transition regression model/(STAR/) to do mean reversion empirical research respectively, so as to determinewhether China's stock market has price discovery function. The results show that thecsi300index, the composite index of Shanghai and composite index of Shenzhen, thegrowth enterprise index and the small and medium-sized plate index miss thecharacteristic of the mean reversion in the range of samples. So the conclusion goesto that the stock market of China does not have price discovery function. It means thatChina's securities market is still not perfect, and we need reform to improve marketmaturity.

关 键 词： 股票市场 价格发现功能 均值回归 模型

分 类 号： [F832.51]

领　　域： [经济管理]