An Empirical Analysis of Stock Price Dynamics with Applications to the Stability and Efficiency of Asset Markets

本研究的目的是在三个阶段分析股票市场价格的行为：(1)对所有常用数据集的股票收益的统计属性进行广泛而详尽的记录，特别关注回报的可预测性在样本周期、采样频率和数据库之间的差异；(2)分析股票市场的制度特征（如交易成本、买卖价格而非单一价格的存在）所产生的统计副作用；(3)对前两个阶段发现的经济影响的考察。本研究的新颖之处包括建立和分析一个新的数据库，该数据库包含多伦多证券交易所从1979年到1987年交易的所有证券的带有时间戳的交易价格，其中包括连续的买卖报价；能够拟合多期股票收益数据的统计模型的说明和估计；最优利用收益可预测性的动态投资组合策略的推导和实证实施，以衡量股票价格变化中可预测成分的经济重要性。这个项目很重要，因为它将揭示交易税或其他类型或形式的政府监管对股票市场行为的可能影响。

The purpose of this research is to analyze the behavior of stock market prices in three phases: (1) An extensive and exhaustive documentation of the statistical properties of stock returns for all the commonly used data sets, with particular attention to how the forecastability of returns differs across sample periods, sampling frequencies, and data bases: (2) An analysis of the statistical side-effects caused by the institutional features of the stock market, such as transaction costs and the existence of bid and offer prices instead of a single price; (3) An examination of the economic implications from the finding of the first two phases. Novel aspects of this research include the construction and analysis of a new database consisting of time-stamped transaction prices for all securities traded on the Toronto Stock Exchange from 1979 to 1987 which included continuous bid-ask quotes; the specification and estimation of statistical models that are capable of fitting stock returns data over many periods; the derivation and empirical implementation of dynamic portfolio strategies that optimally exploit the predictability in returns, so as to gauge the economic importance of forecastable components in stock price changes. This project is important because it will shed light on the possible effects of transaction taxes or other types or forms of governmental regulation on the behavior of the stock market.