更新終了:空売り比率と日経平均株価
- 業種別空売り集計、時系列推移、単位根検定、共和分検定、最小二乗法、一般化最小二乗法、残差の自己相関 -
アセット･マネジメント･コンサルティング株式会社 https://am-consulting.co.jp
更新日時:2019-09-13 13:42:38
Contents
- Souece:日本取引所グループ、日本経済新聞社
| N | 業種名 | 空売り合計:比率 |
|---|---|---|
| 1 | 水産・農林業 | 52.9 |
| 2 | 鉱業 | 40.2 |
| 3 | 建設業 | 45.1 |
| 4 | 食料品 | 52.2 |
| 5 | 繊維製品 | 43.8 |
| 6 | パルプ・紙 | 51.3 |
| 7 | 化学 | 46.1 |
| 8 | 医薬品 | 48.2 |
| 9 | 石油・石炭製品 | 42.8 |
| 10 | ゴム製品 | 50.3 |
| 11 | ガラス・土石製品 | 46.5 |
| 12 | 鉄鋼 | 44.6 |
| 13 | 非鉄金属 | 44.5 |
| 14 | 金属製品 | 46.1 |
| 15 | 機械 | 47.9 |
| 16 | 電気機器 | 45.5 |
| 17 | 輸送用機器 | 48.3 |
| 18 | 精密機器 | 50.9 |
| 19 | その他製品 | 43 |
| 20 | 電気・ガス業 | 41.1 |
| 21 | 陸運業 | 51 |
| 22 | 海運業 | 36.8 |
| 23 | 空運業 | 47.2 |
| 24 | 倉庫・運輸関連業 | 50 |
| 25 | 情報・通信業 | 44.5 |
| 26 | 卸売業 | 41.5 |
| 27 | 小売業 | 43.1 |
| 28 | 銀行業 | 45.6 |
| 29 | 証券、商品先物取引業 | 49 |
| 30 | 保険業 | 43.5 |
| 31 | その他金融業 | 44 |
| 32 | 不動産業 | 44.5 |
| 33 | サービス業 | 50.2 |
| 34 | その他(33業種外) | 43.4 |
空売り比率の時系列推移
- 2019-05-08 ~ 2019-09-12
| Date | 09-12 | 09-11 | 09-10 | 09-09 | 09-06 | 09-05 | 09-04 | 09-03 |
|---|---|---|---|---|---|---|---|---|
| 実注文:比率 | 54.2 | 55.5 | 55.8 | 55 | 57.3 | 57.4 | 53.2 | 55.8 |
| 空売り(価格規制あり):比率 | 33.8 | 35.1 | 37.1 | 37.5 | 34 | 32.6 | 39.9 | 35.8 |
| 空売り(価格規制なし):比率 | 12 | 9.4 | 7.1 | 7.5 | 8.7 | 9.9 | 6.8 | 8.4 |
| 空売り合計:比率 | 45.8 | 44.5 | 44.2 | 45 | 42.7 | 42.6 | 46.8 | 44.2 |
日経平均株価と空売り比率
時系列推移
- 2019-05-08 ~ 2019-09-12
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: 2019-05-08 ~ 2019-09-12,90days
$NIKKEI225.close
ADF test
data: x
ADF(0) = -1.5899, p-value = 0.7892
alternative hypothesis: true delta is less than 0
sample estimates:
delta
-0.07623434
$ShortSalerRatio
ADF test
data: x
ADF(1) = -5.1162, p-value = 0.0003318
alternative hypothesis: true delta is less than 0
sample estimates:
delta
-0.7124851
$NIKKEI225.close_change
ADF test
data: x
ADF(0) = -9.5411, p-value = 0.00000000001785
alternative hypothesis: true delta is less than 0
sample estimates:
delta
-1.042969
$ShortSalerRatio_change
ADF test
data: x
ADF(1) = -10.031, p-value = 0.000000000003784
alternative hypothesis: true delta is less than 0
sample estimates:
delta
-1.86032 ### 共和分検定 ###
Analysis period: 2019-05-08 ~ 2019-09-12,90days
########################################
# 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
-2978.7 -934.7 108.7 892.0 2697.2
Coefficients:
Estimate Std. Error t value Pr(>|t|)
z[, -1] 460.175 2.928 157.2 <0.0000000000000002 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 1273 on 89 degrees of freedom
Multiple R-squared: 0.9964, Adjusted R-squared: 0.9964
F-statistic: 2.47e+04 on 1 and 89 DF, p-value: < 0.00000000000000022
Value of test-statistic is: 1.0173
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: 2019-05-08 ~ 2019-09-12,90days
Call:
lm(formula = NIKKEI225.close_change ~ ShortSalerRatio_change,
data = datadf)
Residuals:
Min 1Q Median 3Q Max
-367.51 -88.63 13.19 96.51 272.64
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) -1.429 14.691 -0.097 0.923
ShortSalerRatio_change -39.425 4.838 -8.149 0.0000000000023 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 139.4 on 88 degrees of freedom
Multiple R-squared: 0.4301, Adjusted R-squared: 0.4236
F-statistic: 66.4 on 1 and 88 DF, p-value: 0.000000000002301
-----------------------------------------------------------------------------
Durbin-Watson test
data: OLS_Model
DW = 1.515, p-value = 0.01119
alternative hypothesis: true autocorrelation is greater than 0
-----------------------------------------------------------------------------
One-sample Kolmogorov-Smirnov test
data: ResidualsOLS
D = 0.067678, p-value = 0.7786
alternative hypothesis: two-sided
-----------------------------------------------------------------------------
2.5 % 97.5 %
(Intercept) -30.62428 27.76589
ShortSalerRatio_change -49.03994 -29.81028
-----------------------------------------------------------------------------
Box-Ljung test
data: ResidualsOLS
X-squared = 22.99, df = 15, p-value = 0.08435### 切片項=0 ###
Analysis period: 2019-05-08 ~ 2019-09-12,90days
Call:
lm(formula = NIKKEI225.close_change ~ ShortSalerRatio_change -
1, data = datadf)
Residuals:
Min 1Q Median 3Q Max
-368.94 -90.07 11.76 95.08 271.21
Coefficients:
Estimate Std. Error t value Pr(>|t|)
ShortSalerRatio_change -39.427 4.811 -8.195 0.00000000000173 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 138.6 on 89 degrees of freedom
Multiple R-squared: 0.4301, Adjusted R-squared: 0.4237
F-statistic: 67.16 on 1 and 89 DF, p-value: 0.000000000001728
-----------------------------------------------------------------------------
Durbin-Watson test
data: OLS_Model_no_intercept
DW = 1.5149, p-value = 0.01475
alternative hypothesis: true autocorrelation is greater than 0
-----------------------------------------------------------------------------
One-sample Kolmogorov-Smirnov test
data: ResidualsOLS_no_intercept
D = 0.063704, p-value = 0.8356
alternative hypothesis: two-sided
-----------------------------------------------------------------------------
2.5 % 97.5 %
ShortSalerRatio_change -48.98628 -29.86703
-----------------------------------------------------------------------------
Box-Ljung test
data: ResidualsOLS_no_intercept
X-squared = 22.99, df = 15, p-value = 0.08436一般化最小二乗法
- gls {nlme}
- corARMA {nlme}
- ks.test {stats}
- confint {stats}
- Box.test {stats}
- 残差の系列相関の有無に拘わらず一般化最小二乗法による回帰係数を求めています。
- 最小二乗法の残差に系列相関が見られない場合、ここではAR(p=0,q=0)の結果(AIC最小)が表示されます。
- http://user.keio.ac.jp/~nagakura/zemi/GLS.pdf
- http://tokyox.matrix.jp/wiki/index.php?%E4%B8%80%E8%88%AC%E5%8C%96%E6%9C%80%E5%B0%8F%E4%BA%8C%E4%B9%97%E6%B3%95
- Ljung-Box 検定のラグは15としている。
### 切片項≠0 ###
Analysis period: 2019-05-08 ~ 2019-09-12,90days
Generalized least squares fit by REML
Model: NIKKEI225.close_change ~ ShortSalerRatio_change
Data: datadf
AIC BIC logLik
1132.345 1144.732 -561.1726
Correlation Structure: ARMA(1,1)
Formula: ~1
Parameter estimate(s):
Phi1 Theta1
0.7868421 -0.5678726
Coefficients:
Value Std.Error t-value p-value
(Intercept) -1.18625 27.963252 -0.042422 0.9663
ShortSalerRatio_change -38.52919 4.188071 -9.199746 0.0000
Correlation:
(Intr)
ShortSalerRatio_change -0.007
Standardized residuals:
Min Q1 Med Q3 Max
-2.57691611 -0.60497613 0.08427878 0.67925735 1.93844639
Residual standard error: 142.4665
Degrees of freedom: 90 total; 88 residual
-----------------------------------------------------------------------------
One-sample Kolmogorov-Smirnov test
data: ResidualsGLS
D = 0.0573, p-value = 0.9125
alternative hypothesis: two-sided
-----------------------------------------------------------------------------
2.5 % 97.5 %
(Intercept) -55.99322 53.62072
ShortSalerRatio_change -46.73766 -30.32072
-----------------------------------------------------------------------------
Box-Ljung test
data: ResidualsGLS
X-squared = 23.278, df = 15, p-value = 0.07842### 切片項=0 ###
Analysis period: 2019-05-08 ~ 2019-09-12,90days
Generalized least squares fit by REML
Model: NIKKEI225.close_change ~ ShortSalerRatio_change - 1
Data: datadf
AIC BIC logLik
1138.675 1148.63 -565.3375
Correlation Structure: ARMA(1,1)
Formula: ~1
Parameter estimate(s):
Phi1 Theta1
0.7171163 -0.5100176
Coefficients:
Value Std.Error t-value p-value
ShortSalerRatio_change -38.45516 4.185432 -9.187859 0
Standardized residuals:
Min Q1 Med Q3 Max
-2.64545256 -0.62607917 0.07717367 0.68774361 1.97758377
Residual standard error: 139.2044
Degrees of freedom: 90 total; 89 residual
-----------------------------------------------------------------------------
One-sample Kolmogorov-Smirnov test
data: ResidualsGLS_no_intercept
D = 0.052668, p-value = 0.9529
alternative hypothesis: two-sided
-----------------------------------------------------------------------------
2.5 % 97.5 %
ShortSalerRatio_change -46.65845 -30.25186
-----------------------------------------------------------------------------
Box-Ljung test
data: ResidualsGLS_no_intercept
X-squared = 23.299, df = 15, p-value = 0.07799残差
- 時系列推移
- 自己相関
- 時系列推移
- 自己相関
業種別空売り集計