Contents

  • Souece:日本取引所グループ、日本経済新聞社

業種別空売り集計

  • 2019年07月22日
  • 「空売り合計:比率」は100から「実注文:比率」を減じた数値としています。

空売り比率の時系列推移

  • 2019-03-07 ~ 2019-07-22

時系列推移

  • 2019-03-07 ~ 2019-07-22
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/共和分検定
  • CADFtest {CADFtest}
  • ca.po {urca}
### 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

最小二乗法
  • lm {stats}
  • dwtest {lmtest}
  • ks.test {stats}
  • confint {stats}
  • Box.test {stats}
### 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

一般化最小二乗法
### 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