基于消息模型的股票市场波动与相关消息因素的关系研究

发布时间：2018-05-06 14:15

本文选题：消息模型 + ARMA　；参考：《数理统计与管理》2013年06期

【摘要】："消息"(News),对于验证市场有效性和研究股票市场的波动特征,具有重要价值.本文基于消息模型(News Model),对上证A股综合指数及其相关影响因素进行了实证分析.通过对样本数据分别利用ARMA(Autoregression Moving Average)、VAR(Vector Autoregressive)、HPF(Hodrick Prescott Fliter)模型提取消息部分,进行回归分析;再利用估计ARDL(Autoregressive Distributed Lag)形式的消息模型,检验相关因素对股市是否存在滞后效应.实证结果显示,一方面,与对众多国外市场的研究保持一致,论文对于中国股票市场的研究同样证实,消息对股市是具有影响力的,另一方面,我们还得出以下结论:(1)财政收入消息对股市存在显著的影响;(2)财政支出消息对股市存在显著的正向影响;(3)消息对股市影响的滞后效应不明显.
[Abstract]:News is of great value for validating the market efficiency and studying the volatility characteristics of the stock market. Based on the news model, this paper makes an empirical analysis on the composite index of A shares of Shanghai Stock Exchange and its related influencing factors. The sample data were extracted by ARMA(Autoregression Moving autoregressive vector autoregressive Prescott literature model, and the regression analysis was carried out, and then the information model in the form of estimating ARDL(Autoregressive Distributed Lagrangian was used to test whether the relative factors had lag effect on the stock market. The empirical results show that, on the one hand, consistent with the research on many foreign markets, the research on the Chinese stock market also proves that the news has influence on the stock market, on the other hand, We also draw the following conclusions: 1) the financial revenue news has a significant impact on the stock market. (2) Fiscal expenditure news has a significant positive impact on the stock market. (3) the lag effect of the news on the stock market is not obvious.
【作者单位】：金融安全协同创新中心;西南财经大学中国金融研究中心;西南财经大学金融学院;
【基金】：国家自然科学基金(71101119) 西南财经大学和四川省教育厅创新团队建设项目(JBK130401)
【分类号】：F224;F831.51

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