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股价与资金流向联系非常紧密,股票市场的资金流向是在上世纪90年代末随着计算机数据统计技术发展而兴起的研究股价波动的方法。目前关于资金流向的统计方法还不统一,主要有根据主动性买盘和卖盘来定义资金流入和流出的资金净流入数据,以及根据大额报单来定义市场中主力资金流向的大单动向数据。本文对这两种资金流向数据进行实证研究并建立模型,分别分析其对股价的影响,得出以下结论:(1)资金流向对股价具有一定的正向影响作用,大单动向与股价涨幅互为格兰杰因果关系。(2)资金净流入不是股价涨幅的格兰杰原因,股价涨幅是资金净流入的格兰杰原因(3)大单动向对股价有较为显著的正向影响作用。
The relationship between stock price and capital flow is very close. The capital flow in the stock market is a method to study the stock price fluctuation with the development of computer statistics technology in the late 1990s. The current statistics on the flow of funds is not uniform, there are mainly based on the initiative to buy and sell to define the inflow and outflow of funds, net inflow of funds, as well as large claims in the market to define the main flow of funds in a single large movement data . This paper conducts an empirical study on these two kinds of capital flow data and establishes a model to analyze its impact on the stock price respectively, and draw the following conclusions: (1) The capital flow has a certain positive effect on the stock price, the big single move and the stock price increase mutual Granger causality. (2) The Granger reason for the net inflow of capital is not the price increase. The price increase is the Granger reason for the net inflow of capital. (3) The large single move has a significant positive impact on the stock price.