基于GARCH族模型的农业板块股票价格波动的实证分析

发布时间：2018-07-16 12:41

【摘要】：由于近几年中国经济社会的巨大发展,中国的经济总量已经跃居世界第二。我国境内股市已经成为全球第三大市场,仅次于美国和日本,股市投资者规模数量全球最大,与此同时,国家对农业的重视和支持也有增无减,发展现代农业离不开证券市场。作为投资者规模数量最大的国家,应该让证券市场更好的为农业服务。证券市场对农业的促进作用通过农业上市公司来实现,农业上市公司的股价波动会影响到农业上市公司。因此,研究农业类上市公司波动的规律、特点和影响农业上市公司股价波动的因素不仅对宏观政策决策者、经营者和投资者有意义,而且对农业现代化的发展也具有指导作用。本文选取了农林牧渔板块的58只股票和农林指数作为研究对象,运用了描述性统计的方法总体上分析了农业类上市公司股价波动现象和原因,在这个基础上运用GARCH族模型深入研究了农业类上市公司股价波动的规律。实证结果表明：第一,农业类上市公司存在“二月红”现象；第二,农业上市公司股票的收益率存在显著的GARCH效应。农业上市公司日收益率的分布不服从正态分布,存在明显的“尖峰厚尾”的现象；对日收益进行拟合后的残差的平方具有显著的易变性和聚集性。第三,用GARCH(1，，1)模型拟合后,系数β(?)＋α(?)非常的接近于1,表明条件方差所受的冲击是持久的,即冲击对未来的预测都有重要的作用。第四,对农业上市公司股票进行TARCH拟合时,发现其非对称效应不显著,因而受利空和利好消息的影响时,波动不会有较大的差异。
[Abstract]:Due to the great development of China's economy and society in recent years, China's total economic output has leapt to the second largest in the world. China's domestic stock market has become the third largest market in the world, second only to the United States and Japan, and the number of stock market investors in the world is the largest. At the same time, the state attaches great importance to and supports agriculture, and the development of modern agriculture can not be separated from the securities market. As the country with the largest number of investors, the stock market should be better served for agriculture. The promotion effect of securities market to agriculture is realized by agricultural listed companies, and the fluctuation of stock price of agricultural listed companies will affect agricultural listed companies. Therefore, the study of the fluctuation law, characteristics and factors affecting the volatility of agricultural listed companies is of significance not only to the macro policy decision makers, managers and investors, but also to the development of agricultural modernization. In this paper, 58 stocks and indices of agriculture, forestry and fishery are selected as research objects, and the phenomenon and reasons of stock price fluctuation of agricultural listed companies are analyzed by descriptive statistical method. On this basis, the GARCH family model is used to study the stock price fluctuation of agricultural listed companies. The empirical results show that: first, there is a "February red" phenomenon in agricultural listed companies; second, there is a significant GARCH effect on the stock returns of agricultural listed companies. The distribution of daily yield of agricultural listed companies is not obedient to normal distribution, and there is obvious phenomenon of "peak and thick tail", and the square of residual error after fitting daily income has remarkable variability and aggregation. Thirdly, the coefficient 尾 (?) + 伪 (?) Very close to 1, indicating that the impact of conditional variance is durable, that is, shocks play an important role in predicting the future. Fourthly, when the stocks of agricultural listed companies are fitted with tch, it is found that the asymmetric effect is not significant, therefore, the volatility will not be significantly different under the influence of good news and good news.
【学位授予单位】：山东理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F324;F832.51;F224

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