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08月23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

  • 2019-04-10 ~ 2019-08-23

時系列推移

  • 2019-04-10 ~ 2019-08-23
      Date            日経平均株価:終値 空売り合計:比率
 Min.   :2019-04-10   Min.   :20406     Min.   :40.60  
 1st Qu.:2019-05-20   1st Qu.:21011     1st Qu.:43.73  
 Median :2019-06-19   Median :21280     Median :45.55  
 Mean   :2019-06-19   Mean   :21308     Mean   :45.59  
 3rd Qu.:2019-07-22   3rd Qu.:21654     3rd Qu.:47.05  
 Max.   :2019-08-23   Max.   :22308     Max.   :51.50  
[1] 90

単位根検定/共和分検定

  • CADFtest {CADFtest}
  • ca.po {urca}
  • 各系列の“_change“は前営業日との差。
### 単位根検定 ###

Analysis period: 2019-04-10 ~ 2019-08-23,90days

$NIKKEI225.close

    ADF test

data:  x
ADF(2) = -2.3594, p-value = 0.3979
alternative hypothesis: true delta is less than 0
sample estimates:
     delta 
-0.1035908 


$ShortSalerRatio

    ADF test

data:  x
ADF(1) = -4.5013, p-value = 0.002651
alternative hypothesis: true delta is less than 0
sample estimates:
     delta 
-0.5924529 


$NIKKEI225.close_change

    ADF test

data:  x
ADF(0) = -8.7645, p-value = 0.0000000002649
alternative hypothesis: true delta is less than 0
sample estimates:
     delta 
-0.9520215 


$ShortSalerRatio_change

    ADF test

data:  x
ADF(0) = -15.662, p-value = 0.00000000000001902
alternative hypothesis: true delta is less than 0
sample estimates:
    delta 
-1.486797 
### 共和分検定 ###

Analysis period: 2019-04-10 ~ 2019-08-23,90days


######################################## 
# 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 
-3271.6 -1024.0   146.4  1182.8  3317.4 

Coefficients:
        Estimate Std. Error t value            Pr(>|t|)    
z[, -1]  465.861      3.303     141 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 1431 on 89 degrees of freedom
Multiple R-squared:  0.9955,    Adjusted R-squared:  0.9955 
F-statistic: 1.989e+04 on 1 and 89 DF,  p-value: < 0.00000000000000022


Value of test-statistic is: 0.882 

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}
  • Ljung-Box 検定のラグは15としている。
### 切片項≠0 ###

Analysis period: 2019-04-10 ~ 2019-08-23,90days


Call:
lm(formula = NIKKEI225.close_change ~ ShortSalerRatio_change, 
    data = datadf)

Residuals:
    Min      1Q  Median      3Q     Max 
-356.43  -75.35    8.47   96.24  257.51 

Coefficients:
                       Estimate Std. Error t value        Pr(>|t|)    
(Intercept)             -11.374     14.260  -0.798           0.427    
ShortSalerRatio_change  -37.809      4.901  -7.714 0.0000000000177 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 135.3 on 88 degrees of freedom
Multiple R-squared:  0.4034,    Adjusted R-squared:  0.3966 
F-statistic: 59.51 on 1 and 88 DF,  p-value: 0.00000000001771


-----------------------------------------------------------------------------

    Durbin-Watson test

data:  OLS_Model
DW = 1.5439, p-value = 0.01601
alternative hypothesis: true autocorrelation is greater than 0


-----------------------------------------------------------------------------

    One-sample Kolmogorov-Smirnov test

data:  ResidualsOLS
D = 0.059781, p-value = 0.8853
alternative hypothesis: two-sided


-----------------------------------------------------------------------------
                           2.5 %    97.5 %
(Intercept)            -39.71330  16.96609
ShortSalerRatio_change -47.54896 -28.06858

-----------------------------------------------------------------------------

    Box-Ljung test

data:  ResidualsOLS
X-squared = 20.965, df = 15, p-value = 0.138
### 切片項=0 ###

Analysis period: 2019-04-10 ~ 2019-08-23,90days


Call:
lm(formula = NIKKEI225.close_change ~ ShortSalerRatio_change - 
    1, data = datadf)

Residuals:
    Min      1Q  Median      3Q     Max 
-367.82  -86.83   -2.95   84.88  246.20 

Coefficients:
                       Estimate Std. Error t value        Pr(>|t|)    
ShortSalerRatio_change  -37.836      4.891  -7.736 0.0000000000151 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 135 on 89 degrees of freedom
Multiple R-squared:  0.402, Adjusted R-squared:  0.3953 
F-statistic: 59.84 on 1 and 89 DF,  p-value: 0.0000000000151


-----------------------------------------------------------------------------

    Durbin-Watson test

data:  OLS_Model_no_intercept
DW = 1.5331, p-value = 0.01832
alternative hypothesis: true autocorrelation is greater than 0


-----------------------------------------------------------------------------

    One-sample Kolmogorov-Smirnov test

data:  ResidualsOLS_no_intercept
D = 0.071247, p-value = 0.7236
alternative hypothesis: two-sided


-----------------------------------------------------------------------------
                           2.5 %    97.5 %
ShortSalerRatio_change -47.55415 -28.11713

-----------------------------------------------------------------------------

    Box-Ljung test

data:  ResidualsOLS_no_intercept
X-squared = 20.959, df = 15, p-value = 0.1381

一般化最小二乗法

### 切片項≠0 ###

Analysis period: 2019-04-10 ~ 2019-08-23,90days

Generalized least squares fit by REML
  Model: NIKKEI225.close_change ~ ShortSalerRatio_change 
  Data: datadf 
       AIC      BIC    logLik
  1127.507 1137.416 -559.7535

Correlation Structure: AR(1)
 Formula: ~1 
 Parameter estimate(s):
      Phi 
0.2404289 

Coefficients:
                           Value Std.Error   t-value p-value
(Intercept)            -11.31933 18.201872 -0.621877  0.5356
ShortSalerRatio_change -35.88013  4.195465 -8.552121  0.0000

 Correlation: 
                       (Intr)
ShortSalerRatio_change -0.005

Standardized residuals:
        Min          Q1         Med          Q3         Max 
-2.61905287 -0.50669174  0.08910266  0.70365568  1.86599170 

Residual standard error: 135.5974 
Degrees of freedom: 90 total; 88 residual

-----------------------------------------------------------------------------

    One-sample Kolmogorov-Smirnov test

data:  ResidualsGLS
D = 0.059789, p-value = 0.8852
alternative hypothesis: two-sided


-----------------------------------------------------------------------------
                           2.5 %    97.5 %
(Intercept)            -46.99434  24.35568
ShortSalerRatio_change -44.10309 -27.65717

-----------------------------------------------------------------------------

    Box-Ljung test

data:  ResidualsGLS
X-squared = 21.3, df = 15, p-value = 0.1275
### 切片項=0 ###

Analysis period: 2019-04-10 ~ 2019-08-23,90days

Generalized least squares fit by REML
  Model: NIKKEI225.close_change ~ ShortSalerRatio_change - 1 
  Data: datadf 
       AIC      BIC   logLik
  1133.526 1140.992 -563.763

Correlation Structure: AR(1)
 Formula: ~1 
 Parameter estimate(s):
      Phi 
0.2320442 

Coefficients:
                           Value Std.Error   t-value p-value
ShortSalerRatio_change -35.94439  4.200833 -8.556491       0

Standardized residuals:
         Min           Q1          Med           Q3          Max 
-2.717810988 -0.594982126  0.004750823  0.623798875  1.793468950 

Residual standard error: 134.8516 
Degrees of freedom: 90 total; 89 residual

-----------------------------------------------------------------------------

    One-sample Kolmogorov-Smirnov test

data:  ResidualsGLS_no_intercept
D = 0.065901, p-value = 0.8047
alternative hypothesis: two-sided


-----------------------------------------------------------------------------
                           2.5 %    97.5 %
ShortSalerRatio_change -44.17787 -27.71091

-----------------------------------------------------------------------------

    Box-Ljung test

data:  ResidualsGLS_no_intercept
X-squared = 21.291, df = 15, p-value = 0.1278

残差

  • 残差の自己相関