中国股票市场中行业板块动态关联及其经济因素解释

发布时间：2018-03-08 09:27

本文选题：股票市场　切入点：板块间动态关联性　出处：《东北财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：在股票市场上,一个重要的表现就是,行业板块运动的显著变化：过去以个股普涨普跌为主要特点的股票市场如今更多的呈现出行业或概念板块的群体运动的特征。另外,由于受到诸如每个月CPI指数的公布、商业银行存贷款利率调整等宏观经济因素变化的影响,我国股票市场中金融、地产、消费类板块或其他相关行业板块之间产生轮动现象并呈现动态关联的特征,而且投资者的情绪因素也日益成为影响股票市场整体表现的重要因素。因此,研究不同行业板块间的动态关联性和不同类型经济因素对行业板块动态关联的影响成为证券市场投资的现实需要。本文结合我国股票市场发展状况分析了行业板块指数间的动态关联性,着重对行业板块间的Granger因果关系、条件相关系数和不同类型经济因素对行业板块间的动态关联性构成的影响进行了实证检验。首先,结合前人理论成果,对行业板块指数间的动态关联性提出研究假设。然后,选用万德(Wind)数据库中深交所一级行业分类指数的月数据做实证检验。经过数据处理,得到平稳序列,并使用Granger方法,按照市场整体收益的波动情况,将整个样本期分四个阶段对各行业指数进行动态关联检验,发现一些行业板块两两之间的动态关联关系。接着,文章引入BEKK模型,在整个考察周期里,分析了板块指数波动的动态关联,并使用Ox Metrics软件计算出行业指数收益间的条件相关系数。实证结果发现,我国股票市场中不同的行业板块指数间存在动态关联性,动态相关系数基本都大于0.5,说明动态关联程度比较高。另外,不同类型的经济因素对行业板块间的动态关联性构成影响。随后,通过建立不同类型经济因素对行业板块间的条件相关系数的回归分析,我们发现在不同市场环境下,不同类型的经济因素对行业板块间的条件相关系数存在不同程度的影响,尤其是同一类型的经济因素对行业板块的动态关联性会构成不同方向的影响。文章的最后,从机构投资者、普通投资者、政府及监管部门三个角度出发为我国股票市场未来的健康发展提出了政策建议。
[Abstract]:In the stock market, an important manifestation is the significant change of plate movement in the past: industry stocks broad Pudie as the main characteristics of the stock market is now more showing the characteristics of industry or the concept of plate group movement. In addition, due to the CPI index released such as every month, affect the commercial bank deposit change of the loan interest rate adjustment of macroeconomic factors, financial, real estate in our country stock market, between the consumer sector and other related industries plate rotation phenomenon and shows the characteristics of dynamic association, and investors were important factors affecting the stock market has become the overall performance. Therefore, the dynamic effect of relevance and different types of economic factors on different sectors of the industry sector dynamic association has become the need for investment in the stock market.
In this paper, combining the development of China's stock market analysis of the dynamic relationship between the industry sector index, focuses on the industry sector between the Granger causality, correlation coefficient and influence conditions of different types of economic factors on the dynamic relationship between the industry sector constitute empirically. First of all, combined with previous theoretical results, put forward the hypothesis of the dynamic relation between the industry sector index. Then, the Wande (Wind) monthly data in the database of Shenzhen an industry classification index to do empirical test. After data processing, stationary sequence, and using the method of Granger, according to the fluctuation of the whole stock market, the whole sample period is divided into four stages of dynamic association to test the industry index, the dynamic relationship between some industry sector of 22. Then, the paper introduces the BEKK model in the whole study period, analysis of the plate The dynamic correlation of the block index fluctuations and the Ox Metrics software are used to calculate the conditional correlation coefficient between the industry index returns.
The empirical results show that there are dynamic correlations between different industry sector indices in China's stock market. The dynamic correlation coefficients are basically greater than 0.5, indicating that the degree of dynamic correlation is relatively high. Besides, different types of economic factors affect the dynamic correlation between sectors.
Then, through the regression of industry sector between the conditional correlation coefficients of different types of economic factors, we find that in different market conditions, economic factors of different types of industry sector between the condition factor had different degree of effects, especially the economic factors the same type of dynamic relevance to the industry sector will effect of composition in different directions. Finally, from institutional investors and ordinary investors, the policy suggestions are put forward from three angles of government and regulatory authorities of China's stock market healthy development in the future.

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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