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资金流向是证券分析师和广大投资者关注的重点之一。本文引入定单流指标,刻画资金的流向,提出了基于定单流的股票选择方法,并进行实证分析。采用事件研究法分析了证券分析师推荐股票的总体特征,运用朴素贝叶斯分类(NBC)方法筛选出符合分析师荐股特征的股票,对筛选出的股票收益率进行显著性检验。实证结果表明,与证券分析师推荐的股票和深证成指相比,基于定单流的股票选择方法筛选的股票能获得更高的收益率,而且能通过显著性检验。
The flow of funds is one of the focuses of analysts and investors. This article introduces the order flow indicators, depicts the flow of funds, proposed stock selection method based on order flow, and empirical analysis. This paper analyzes the general characteristics of securities analysts’ recommendation stock by using the event research method, selects the stock that meets the analyst’s recommendation by using the Naive Bayesian Classification (NBC) method, and makes a significant test on the selected stock returns. The empirical results show that the stocks screened by the stock selection method based on the order flow can achieve higher yield and pass the significance test than the securities analysts recommend and the Shenzhen Component Index.