并购浪潮与股市波动:基于EMD的相关性检验与解释

发布时间：2018-02-16 18:39

本文关键词： 并购浪潮股票波动经验模态分解(EMD)　出处：《系统工程》2013年09期 　论文类型：期刊论文

【摘要】：为了解释中国企业并购潮现象,本文创新性地将并购潮波动信息分解为若干个信号波,并试图利用股市波动信息来解释中国并购潮形成的影响因素。其具体方法是,基于中国证券市场数据和并购活动数据,运用EMD技术将并购活动时间序列和上证指数时间序列分解成为多尺度时间序列:趋势项、低频项和高频项3个分量,分别对相应的分量进行Pearson相关性检验发现,并购时间序列的趋势项高度相关、低频项中度相关,而高频项完全不相关。由于股市指数序列承载了足够的宏观经济、政府政策和投资者行为信息,从而可以通过分析股市波动的因素间接地讨论中国企业并购潮的形成原因。研究结果表明,中国宏观经济持续增长是中国并购潮长期波动的主因,而产业结构调整、政府政策和资本市场短期非理性投资行为等则是中国并购潮局部波动的重要因素。
[Abstract]:In order to explain the phenomenon of M & A tide of Chinese enterprises, this paper innovatively decomposes the wave information of M & A into several signal waves, and tries to explain the factors that influence the formation of M & A tide by using the fluctuation information of stock market. Based on Chinese stock market data and M & A activity data, the time series of M & A activity and Shanghai Stock Exchange Index are decomposed into multi-scale time series by using EMD technology: trend item, low frequency item and high frequency term. According to the Pearson correlation test of the corresponding components, the trend items of M & A time series are highly correlated, the low frequency items are moderately correlated, and the high frequency items are completely irrelevant. By analyzing the factors of stock market volatility, we can indirectly discuss the causes of the M & A tide of Chinese enterprises. The results show that the sustained growth of China's macro economy is the main reason for the long-term volatility of the M & A tide in China. The adjustment of industrial structure, the government policy and the short-term irrational investment behavior of capital market are the important factors of the local fluctuation of M & A tide in China.
【作者单位】：广东工业大学管理学院;
【基金】：国家自然科学基金资助项目(71103044) 广东省普通高校人文社会科学研究基地重大项目(10JDXM63005)
【分类号】：F271;F832.51

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