股票价格塑性性质的计量经济模型及实证检验

首先基于股票价格和成交量，根据股票的量价规律，分析了股价波动的塑性性质；然后使用计量经济学方法建立描述股价波动的塑性模型，包括股价塑性基本模型、基本模型的一阶自回归模型、幂指数模型及幂指数模型的一阶自回归模型，基于12支样本股对这些模型进行参数估计和检验。由4种模型均能够通过经济学检验和统计学检验可知股价波动具有塑性性质，且4种形式的股价塑性模型均是可行的。比较4种形式的股价塑性模型的检验结果得出幂指数模型描述股价塑性较为科学、合理。

Econometrical model of stock price plasticity property and empirical examination

According to the price-volume laws of stock, the plasticity property of the stock price is studied. Then stock price plasticity models, including a basic model, a power exponent model and there one step auto regression models, are established by econometrical methods, and examined by twelve sample stocks. All kinds of stock price plasticity models passing econometrical examination reveal that stock price is characterized by plasticity and all kinds of stock price plasticity models is feasible. Comparing the examination results of four kinds of models, we can draw that power exponent model is more reasonable.