空売り比率の時系列推移
日経平均株価と空売り比率
時系列推移
Date | 日経平均株価:終値 | 空売り合計:比率 |
---|---|---|
2019-03-07 | 21,456.01 | 47 |
2019-03-08 | 21,025.56 | 50.3 |
2019-03-11 | 21,125.09 | 45.7 |
2019-03-12 | 21,503.69 | 40.3 |
2019-03-13 | 21,290.24 | 45 |
2019-03-14 | 21,287.02 | 43.9 |
2019-03-15 | 21,450.85 | 42.3 |
2019-03-18 | 21,584.5 | 41.4 |
2019-03-19 | 21,566.85 | 41.9 |
2019-03-20 | 21,608.92 | 41.6 |
2019-03-22 | 21,627.34 | 41.1 |
2019-03-25 | 20,977.11 | 44.9 |
2019-03-26 | 21,428.39 | 42.8 |
2019-03-27 | 21,378.73 | 41.3 |
2019-03-28 | 21,033.76 | 46.5 |
2019-03-29 | 21,205.81 | 42.8 |
2019-04-01 | 21,509.03 | 41.4 |
2019-04-02 | 21,505.31 | 43.8 |
2019-04-03 | 21,713.21 | 43.7 |
2019-04-04 | 21,724.95 | 43.1 |
2019-04-05 | 21,807.5 | 41.9 |
2019-04-08 | 21,761.65 | 42.9 |
2019-04-09 | 21,802.59 | 42.3 |
2019-04-10 | 21,687.57 | 44 |
2019-04-11 | 21,711.38 | 43.4 |
2019-04-12 | 21,870.56 | 45.7 |
2019-04-15 | 22,169.11 | 41.2 |
2019-04-16 | 22,221.66 | 41.1 |
2019-04-17 | 22,277.97 | 40.7 |
2019-04-18 | 22,090.12 | 44.6 |
2019-04-19 | 22,200.56 | 43.5 |
2019-04-22 | 22,217.9 | 44.8 |
2019-04-23 | 22,259.74 | 43.1 |
2019-04-24 | 22,200 | 45.7 |
2019-04-25 | 22,307.58 | 46.1 |
2019-04-26 | 22,258.73 | 45 |
2019-05-07 | 21,923.72 | 44.9 |
2019-05-08 | 21,602.59 | 46.1 |
2019-05-09 | 21,402.13 | 47.5 |
2019-05-10 | 21,344.92 | 49.2 |
2019-05-13 | 21,191.28 | 48.8 |
2019-05-14 | 21,067.23 | 45.6 |
2019-05-15 | 21,188.56 | 46 |
2019-05-16 | 21,062.98 | 48.8 |
2019-05-17 | 21,250.09 | 45.2 |
2019-05-20 | 21,301.73 | 46.8 |
2019-05-21 | 21,272.45 | 44.8 |
2019-05-22 | 21,283.37 | 46.2 |
2019-05-23 | 21,151.14 | 48 |
2019-05-24 | 21,117.22 | 46.9 |
2019-05-27 | 21,182.58 | 44.3 |
2019-05-28 | 21,260.14 | 45 |
2019-05-29 | 21,003.37 | 46.9 |
2019-05-30 | 20,942.53 | 47.8 |
2019-05-31 | 20,601.19 | 47.1 |
2019-06-03 | 20,410.88 | 48.5 |
2019-06-04 | 20,408.54 | 47.3 |
2019-06-05 | 20,776.1 | 43.6 |
2019-06-06 | 20,774.04 | 44 |
2019-06-07 | 20,884.71 | 43.5 |
2019-06-10 | 21,134.42 | 40.6 |
2019-06-11 | 21,204.28 | 41.7 |
2019-06-12 | 21,129.72 | 46.8 |
2019-06-13 | 21,032 | 48 |
2019-06-14 | 21,116.89 | 48 |
2019-06-17 | 21,124 | 45.7 |
2019-06-18 | 20,972.71 | 46.8 |
2019-06-19 | 21,333.87 | 43.3 |
2019-06-20 | 21,462.86 | 43.5 |
2019-06-21 | 21,258.64 | 47.3 |
2019-06-24 | 21,285.99 | 44.3 |
2019-06-25 | 21,193.81 | 47.1 |
2019-06-26 | 21,086.59 | 45.3 |
2019-06-27 | 21,338.17 | 44.9 |
2019-06-28 | 21,275.92 | 49.3 |
2019-07-01 | 21,729.97 | 41.9 |
2019-07-02 | 21,754.27 | 43.5 |
2019-07-03 | 21,638.16 | 45.3 |
2019-07-04 | 21,702.45 | 41.3 |
2019-07-05 | 21,746.38 | 43.3 |
2019-07-08 | 21,534.35 | 49.7 |
2019-07-09 | 21,565.15 | 46.7 |
2019-07-10 | 21,533.48 | 49.4 |
2019-07-11 | 21,643.53 | 41.3 |
2019-07-12 | 21,685.9 | 42.9 |
2019-07-16 | 21,535.25 | 44.1 |
2019-07-17 | 21,469.18 | 43.4 |
2019-07-18 | 21,046.24 | 51.2 |
2019-07-19 | 21,466.99 | 42.7 |
2019-07-22 | 21,416.79 | 49.4 |
### 単位根検定 ###
Analysis period: 2019-03-07 ~ 2019-07-22,90days
$NIKKEI225.close
ADF test
data: x
ADF(0) = -2.4002, p-value = 0.3769
alternative hypothesis: true delta is less than 0
sample estimates:
delta
-0.1202548
$ShortSalerRatio
ADF test
data: x
ADF(0) = -7.4521, p-value = 0.00000004003
alternative hypothesis: true delta is less than 0
sample estimates:
delta
-0.7990402
$NIKKEI225.close_change
ADF test
data: x
ADF(0) = -10.108, p-value = 0.000000000003005
alternative hypothesis: true delta is less than 0
sample estimates:
delta
-1.096793
$ShortSalerRatio_change
ADF test
data: x
ADF(1) = -10.119, p-value = 0.000000000002909
alternative hypothesis: true delta is less than 0
sample estimates:
delta
-1.838719
### 共和分検定 ###
Analysis period: 2019-03-07 ~ 2019-07-22,90days
########################################
# Phillips and Ouliaris Unit Root Test #
########################################
Test of type Pu
detrending of series none
Call:
lm(formula = z[, 1] ~ z[, -1] - 1)
Residuals:
Min 1Q Median 3Q Max
-3315 -1126 157 1201 2913
Coefficients:
Estimate Std. Error t value Pr(>|t|)
z[, -1] 475.800 3.429 138.8 <0.0000000000000002 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 1462 on 89 degrees of freedom
Multiple R-squared: 0.9954, Adjusted R-squared: 0.9953
F-statistic: 1.926e+04 on 1 and 89 DF, p-value: < 0.00000000000000022
Value of test-statistic is: 0.8432
Critical values of Pu are:
10pct 5pct 1pct
critical values 20.3933 25.9711 38.3413
### 切片項≠0 ###
Analysis period: 2019-03-07 ~ 2019-07-22,90days
Call:
lm(formula = NIKKEI225.close_change ~ ShortSalerRatio_change,
data = datadf)
Residuals:
Min 1Q Median 3Q Max
-485.38 -96.22 6.99 98.62 359.31
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.5631 15.4115 0.037 0.971
ShortSalerRatio_change -43.5290 5.1571 -8.441 0.00000000000058 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 146.2 on 88 degrees of freedom
Multiple R-squared: 0.4474, Adjusted R-squared: 0.4411
F-statistic: 71.24 on 1 and 88 DF, p-value: 0.0000000000005804
-----------------------------------------------------------------------------
Durbin-Watson test
data: OLS_Model
DW = 1.8943, p-value = 0.3229
alternative hypothesis: true autocorrelation is greater than 0
-----------------------------------------------------------------------------
One-sample Kolmogorov-Smirnov test
data: ResidualsOLS
D = 0.072791, p-value = 0.6992
alternative hypothesis: two-sided
-----------------------------------------------------------------------------
2.5 % 97.5 %
(Intercept) -30.06407 31.19037
ShortSalerRatio_change -53.77752 -33.28040
-----------------------------------------------------------------------------
Box-Ljung test
data: ResidualsOLS
X-squared = 0.12988, df = 1, p-value = 0.7186
### 切片項=0 ###
Analysis period: 2019-03-07 ~ 2019-07-22,90days
Call:
lm(formula = NIKKEI225.close_change ~ ShortSalerRatio_change -
1, data = datadf)
Residuals:
Min 1Q Median 3Q Max
-484.83 -95.65 7.56 99.17 359.88
Coefficients:
Estimate Std. Error t value Pr(>|t|)
ShortSalerRatio_change -43.525 5.127 -8.489 0.000000000000427 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 145.4 on 89 degrees of freedom
Multiple R-squared: 0.4474, Adjusted R-squared: 0.4412
F-statistic: 72.07 on 1 and 89 DF, p-value: 0.0000000000004273
-----------------------------------------------------------------------------
Durbin-Watson test
data: OLS_Model_no_intercept
DW = 1.8942, p-value = 0.3621
alternative hypothesis: true autocorrelation is greater than 0
-----------------------------------------------------------------------------
One-sample Kolmogorov-Smirnov test
data: ResidualsOLS_no_intercept
D = 0.072754, p-value = 0.6998
alternative hypothesis: two-sided
-----------------------------------------------------------------------------
2.5 % 97.5 %
ShortSalerRatio_change -53.71257 -33.33792
-----------------------------------------------------------------------------
Box-Ljung test
data: ResidualsOLS_no_intercept
X-squared = 0.12997, df = 1, p-value = 0.7185
### 切片項≠0 ###
Analysis period: 2019-03-07 ~ 2019-07-22,90days
Generalized least squares fit by REML
Model: NIKKEI225.close_change ~ ShortSalerRatio_change
Data: datadf
AIC BIC logLik
1144.252 1151.684 -569.1258
Coefficients:
Value Std.Error t-value p-value
(Intercept) 0.56315 15.411550 0.036541 0.9709
ShortSalerRatio_change -43.52896 5.157054 -8.440664 0.0000
Correlation:
(Intr)
ShortSalerRatio_change -0.02
Standardized residuals:
Min Q1 Med Q3 Max
-3.32048434 -0.65823677 0.04782183 0.67463765 2.45799668
Residual standard error: 146.1784
Degrees of freedom: 90 total; 88 residual
-----------------------------------------------------------------------------
One-sample Kolmogorov-Smirnov test
data: ResidualsGLS
D = 0.072791, p-value = 0.6992
alternative hypothesis: two-sided
-----------------------------------------------------------------------------
2.5 % 97.5 %
(Intercept) -29.64293 30.76923
ShortSalerRatio_change -53.63660 -33.42132
-----------------------------------------------------------------------------
Box-Ljung test
data: ResidualsGLS
X-squared = 0.12988, df = 1, p-value = 0.7186
### 切片項=0 ###
Analysis period: 2019-03-07 ~ 2019-07-22,90days
Generalized least squares fit by REML
Model: NIKKEI225.close_change ~ ShortSalerRatio_change - 1
Data: datadf
AIC BIC logLik
1149.555 1154.533 -572.7777
Coefficients:
Value Std.Error t-value p-value
ShortSalerRatio_change -43.52524 5.127043 -8.489346 0
Standardized residuals:
Min Q1 Med Q3 Max
-3.33549490 -0.65805878 0.05200757 0.68228889 2.47583230
Residual standard error: 145.356
Degrees of freedom: 90 total; 89 residual
-----------------------------------------------------------------------------
One-sample Kolmogorov-Smirnov test
data: ResidualsGLS_no_intercept
D = 0.072754, p-value = 0.6998
alternative hypothesis: two-sided
-----------------------------------------------------------------------------
2.5 % 97.5 %
ShortSalerRatio_change -53.57406 -33.47642
-----------------------------------------------------------------------------
Box-Ljung test
data: ResidualsGLS_no_intercept
X-squared = 0.12997, df = 1, p-value = 0.7185
業種別空売り集計