基于主成分分析的股价因素分析
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摘要
我国股票市场自1990年代成立至今取得了一定的成就,至今已有2000多家公司在沪深两市上市,形成一定规模。但是,我国股票市场由于起步晚,与发达国家股票市场相比,仍存在很多问题,需要进一步探讨研究。因此,本文以股票市场为对象,研究影响股票市场价格的因素。本文首先对国内外学者关于股票价格影响因素的研究进行了综述,在此基础上提出了文章的理论观点,将影响股票价格的因素归纳为宏观因素、行业因素和微观因素三大类,其中宏观因素包括国家政治因素、货币供应量、通货膨胀和汇率水平等,行业因素包括经济周期和行业生命周期等,微观因素包括公司盈利能力、偿债能力、发展能力和营运能力等。本文采用定量分析方法,搜集了2012年我国沪深两市2000多家上市公司股票相关数据,以股票价格为因变量,以总资产增长率、资产剧转率、流动比率、每股收益率和负债比率等作为自变量,对数据进行了主成分分析法和线性回归分析,并通过结果分析对文章观点进行验证。
China's stock market has made some achievements since the1990's.So far,more than2000companies have got into the shanghai and Shenzhen Stock Exchange, forming a certain scale. However, because China's stock market is not mature, there are still a lot of problems to be further studied, compared with stock market in the developed. Therefore, this paper mainly study the influencing factors of stock market prices, in the basis of stock market. Firstly, the paper introduce theoretical research on stock prices, which are put forward by scholars at home and domestic. Secondly, the article theory view is proposed on this basis.The influencing factors are sorted by macroeconomic factors, industry factors and micro factors. The macroscopic factors include political factors, money supply, inflation and exchange rate level, Industry factors including economic cycle and industry life cycle, The microcosmic factors include the company profit ability, debt paying ability, development ability and operation ability. This paper, using the method of quantitative analysis, collected more than2000listing Corporation stock data of the shanghai and Shenzhen Stock Exchange in2012. Take the stock price as the dependent variable, take the growth rate of total assets, asset turnover ratio, liquidity ratio, earnings per share and debt ratio as variable.The data are analyzed by principal component analysis and linear regression analysis, and verify the point of view of this article through the analysis of results.
China's stock market has made some achievements since the1990's.So far,more than2000companies have got into the shanghai and Shenzhen Stock Exchange, forming a certain scale. However, because China's stock market is not mature, there are still a lot of problems to be further studied, compared with stock market in the developed. Therefore, this paper mainly study the influencing factors of stock market prices, in the basis of stock market. Firstly, the paper introduce theoretical research on stock prices, which are put forward by scholars at home and domestic. Secondly, the article theory view is proposed on this basis.The influencing factors are sorted by macroeconomic factors, industry factors and micro factors. The macroscopic factors include political factors, money supply, inflation and exchange rate level, Industry factors including economic cycle and industry life cycle, The microcosmic factors include the company profit ability, debt paying ability, development ability and operation ability. This paper, using the method of quantitative analysis, collected more than2000listing Corporation stock data of the shanghai and Shenzhen Stock Exchange in2012. Take the stock price as the dependent variable, take the growth rate of total assets, asset turnover ratio, liquidity ratio, earnings per share and debt ratio as variable.The data are analyzed by principal component analysis and linear regression analysis, and verify the point of view of this article through the analysis of results.
引文
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[2]Graham,King.the relation of firm market values with book values and residual accounting
earning in Six Asian countries..2000. [3]Bemard,Stober.How do accounting variables explain stock price movementsTheory and evidence. Journal of Accountancy.2007.
[4]Harris Richard DF.Stock Markets and Development:A Reassessment. European Economic Review.1997.
[5]Chen N F,Roll R,Ross S A. Economic forces and the stock market. Journal of Business.1986.
[6]张文璋.实用现代统计分析方法与SPSS应用[M].北京：当代中国出版社,2000.
[7]方开泰.实用多元统计分析[M].华东师范大学出版社.1992.
[8]朱建平.应用多元统计分析[M].北京：科学出版社,2009.
[9]吴晓求.证券投资学[M].北京：中国人民大学出版社,2004第2版.
[10]乔纳森·迈尔斯.股市心理学：向恐惧、贪婪和市场的非更改宣战[M].北京：中信出版社，沈阳：辽宁教育出版社,2004.
[11]邹吴平、唐利民、袁国良,政策性因素对中国股市的影响[J].世界经济,2000(11)：21-26.
[12]刘志强.财政政策作用机制和财政风险的动态计量研究[M].上海：上海社会科学院出版社,2006.
[13][美]米什金,货币金融学,李扬、施华强、高培勇等译[M].中国人民大学出版社,1997年第3版(中文版).
[14]Don Patinkin."On Stock and Flows, Study in Monetary Economics". Harper International Edition.1972.
[15]胡月晓.货币政策对股票价格的影响研究[D].华东师范大学,2005.
[16]李红艳.汪涛.中国股市价格与货币供应量关系的实证分析[J].预测.2000.(3)：37-40.
[17]David A. Mashall."Inflation and Asset Returns in a Monetary Economy". The Journal of Finance.1992
[18]宗国英.利率税率和通货膨胀率的变动对我国资本市场的影响[J].经济问题探索.2003.(11)：20-24.
[19]Alex D Patelis."Stock Return Predict ability and The Role of Monetary Policy",. The Journal of Finance.1997.
[20]徐子峰.我国货币政策对股票市场影响的实证研究[D].厦门大学.2008.
[21]蔡强.货币政策对股票价格影响的实证分析[D].吉林大学.2006.
[22]Fama EF.Stock returns, expected returns and real activity. Journal of Finance,1990.
[23]施东辉,中国股市微观行为理论与实证[M]上海远东出版社,2001年版.
[24]穆良平，史代敏.股票市场波动与上市公司整体业绩的关联性[J].财经科学,2002,(6)14-19.
[25]陆静,孟卫东,廖刚.上市公司会计盈利、现金流量与股票价格的实证研究[J].经济科学,2002(5)：34-42.
[26]林颖.上市公司经营状况与股票价格关系分析[J].工商管理,2004(9)：48-50.
[27]黄炳艺,郭盈盈.上市公司偿债能力对其股票交易影响的实证分析[J].统计与信息论坛,2003(1)：39-46.
[28]戴丽萍.财务指标与股票价格定位：一种实证研究[J].云南财贸学院学报,2004,20(4)：66-70.
[29]李岳,王继平,归江.股价波动及相关因素的实证研究[J].数理统计与管理,1998,(6)：15-19.
[30]胡继之,于华.影响中国股市价格波动若干因素的实证分析[J].中国社会科学,1999,(3)：27-32.
[31]郭显光.如何用SPSS软件进行主成分分析[J].统计与信息论坛.1998(2)8-11.
[32]薛薇.统计与SPSS的应用[M].中国人民大学出版社.2001(5).
[33]Johnson Dallase.Appliod Multivariate Methods for Data Analysis..2005.
[34]高铁梅.计量经济分析方法与建模——SPSS应用及实例[M].北京：清华大学出版社,2006.
[2]Graham,King.the relation of firm market values with book values and residual accounting
earning in Six Asian countries..2000. [3]Bemard,Stober.How do accounting variables explain stock price movementsTheory and evidence. Journal of Accountancy.2007.
[4]Harris Richard DF.Stock Markets and Development:A Reassessment. European Economic Review.1997.
[5]Chen N F,Roll R,Ross S A. Economic forces and the stock market. Journal of Business.1986.
[6]张文璋.实用现代统计分析方法与SPSS应用[M].北京：当代中国出版社,2000.
[7]方开泰.实用多元统计分析[M].华东师范大学出版社.1992.
[8]朱建平.应用多元统计分析[M].北京：科学出版社,2009.
[9]吴晓求.证券投资学[M].北京：中国人民大学出版社,2004第2版.
[10]乔纳森·迈尔斯.股市心理学：向恐惧、贪婪和市场的非更改宣战[M].北京：中信出版社，沈阳：辽宁教育出版社,2004.
[11]邹吴平、唐利民、袁国良,政策性因素对中国股市的影响[J].世界经济,2000(11)：21-26.
[12]刘志强.财政政策作用机制和财政风险的动态计量研究[M].上海：上海社会科学院出版社,2006.
[13][美]米什金,货币金融学,李扬、施华强、高培勇等译[M].中国人民大学出版社,1997年第3版(中文版).
[14]Don Patinkin."On Stock and Flows, Study in Monetary Economics". Harper International Edition.1972.
[15]胡月晓.货币政策对股票价格的影响研究[D].华东师范大学,2005.
[16]李红艳.汪涛.中国股市价格与货币供应量关系的实证分析[J].预测.2000.(3)：37-40.
[17]David A. Mashall."Inflation and Asset Returns in a Monetary Economy". The Journal of Finance.1992
[18]宗国英.利率税率和通货膨胀率的变动对我国资本市场的影响[J].经济问题探索.2003.(11)：20-24.
[19]Alex D Patelis."Stock Return Predict ability and The Role of Monetary Policy",. The Journal of Finance.1997.
[20]徐子峰.我国货币政策对股票市场影响的实证研究[D].厦门大学.2008.
[21]蔡强.货币政策对股票价格影响的实证分析[D].吉林大学.2006.
[22]Fama EF.Stock returns, expected returns and real activity. Journal of Finance,1990.
[23]施东辉,中国股市微观行为理论与实证[M]上海远东出版社,2001年版.
[24]穆良平，史代敏.股票市场波动与上市公司整体业绩的关联性[J].财经科学,2002,(6)14-19.
[25]陆静,孟卫东,廖刚.上市公司会计盈利、现金流量与股票价格的实证研究[J].经济科学,2002(5)：34-42.
[26]林颖.上市公司经营状况与股票价格关系分析[J].工商管理,2004(9)：48-50.
[27]黄炳艺,郭盈盈.上市公司偿债能力对其股票交易影响的实证分析[J].统计与信息论坛,2003(1)：39-46.
[28]戴丽萍.财务指标与股票价格定位：一种实证研究[J].云南财贸学院学报,2004,20(4)：66-70.
[29]李岳,王继平,归江.股价波动及相关因素的实证研究[J].数理统计与管理,1998,(6)：15-19.
[30]胡继之,于华.影响中国股市价格波动若干因素的实证分析[J].中国社会科学,1999,(3)：27-32.
[31]郭显光.如何用SPSS软件进行主成分分析[J].统计与信息论坛.1998(2)8-11.
[32]薛薇.统计与SPSS的应用[M].中国人民大学出版社.2001(5).
[33]Johnson Dallase.Appliod Multivariate Methods for Data Analysis..2005.
[34]高铁梅.计量经济分析方法与建模——SPSS应用及实例[M].北京：清华大学出版社,2006.