我国经济周期对投资策略的影响研究
发布时间：2018-08-31 11:31
【摘要】：通过构建MS(3)-ARCH(3)模型,对2003年1月—2014年3月间的上证指数以及五大上市公司的对数收益率进行分析,比较投资者对整个资本市场以及在农业、工业、房地产业、金融服务业和新兴产业的投资状况,系统研究我国经济周期对投资策略的影响。实证研究结果表明:上证指数和所选各行业的蓝筹股对数收益率在低迷期、稳定期和不稳定期的特征表现大致相同,相对于新兴产业来说,状态转换不频繁,受经济周期影响不大,但不同行业之间略有差异;所选新兴产业股票在低迷期及不稳定期对数收益率为负,状态转换非常频繁,说明新兴产业领域的投资情绪不稳定,容易受宏观经济环境的影响。
[Abstract]:By constructing the MS(3)-ARCH(3) model, this paper analyzes the Shanghai Stock Exchange Index and the logarithmic returns of the five listed companies from January 2003 to March 2014, compares the investments of investors in the whole capital market and in agriculture, industry, real estate, financial services and emerging industries, and systematically studies the investment strategies of China's economic cycle. The empirical results show that the logarithmic returns of the Shanghai Stock Exchange Index and the blue-chip stocks of the selected industries are roughly the same in the downturn, stable and unstable periods. Compared with the emerging industries, the state transition is not frequent and is not affected by the economic cycle, but there is a slight difference between the different industries. The logarithmic returns of the period and instability period are negative, and the state transition is very frequent, indicating that the investment sentiment in the emerging industries is unstable and vulnerable to the macroeconomic environment.
【作者单位】： 吉林大学经济学院;
【基金】：吉林省科技厅软科学项目(20110641)
【分类号】：F124;F224
[Abstract]:By constructing the MS(3)-ARCH(3) model, this paper analyzes the Shanghai Stock Exchange Index and the logarithmic returns of the five listed companies from January 2003 to March 2014, compares the investments of investors in the whole capital market and in agriculture, industry, real estate, financial services and emerging industries, and systematically studies the investment strategies of China's economic cycle. The empirical results show that the logarithmic returns of the Shanghai Stock Exchange Index and the blue-chip stocks of the selected industries are roughly the same in the downturn, stable and unstable periods. Compared with the emerging industries, the state transition is not frequent and is not affected by the economic cycle, but there is a slight difference between the different industries. The logarithmic returns of the period and instability period are negative, and the state transition is very frequent, indicating that the investment sentiment in the emerging industries is unstable and vulnerable to the macroeconomic environment.
【作者单位】： 吉林大学经济学院;
【基金】：吉林省科技厅软科学项目(20110641)
【分类号】：F124;F224
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