宏观经济环境与中小板股市波动关系探讨

发布时间：2018-03-30 01:10

  本文选题：中小板　切入点：股市波动　出处：《福建论坛(人文社会科学版)》2017年05期

【摘要】：针对中小板市场以及宏观经济数据的尖峰厚尾、结构突变等特征,以及多维模型的维数灾难问题和经济金融统计数据较少的现实,借助自适应Lasso惩罚贝叶斯分位数回归模型,实证研究2006-2015年宏观经济环境变化与中小板综合指数极差波动的关系。结果表明:宏观经济环境对中小板市场波动有显著影响,工业增加值和适度通货膨胀能够平缓股市波动,且抑制作用随波动加剧增大;银行同业拆借利率与股市波动微弱负相关,人民币实际有效汇率对股市波动的促进影响最大。
[Abstract]:In view of the characteristics of small and medium-sized market and macro-economic data, such as peak and thick tail, structural catastrophe, dimension disaster of multidimensional model and less economic and financial statistics, adaptive Lasso is used to punish Bayesian quantile regression model. An empirical study on the relationship between the change of macroeconomic environment and the extreme fluctuation of the composite index between 2006 and 2015 shows that the macroeconomic environment has a significant impact on the volatility of the small and medium-sized market, and the industrial added value and moderate inflation can smooth the volatility of the stock market. The inhibition effect increases with the increase of volatility, and the interbank lending rate has a weak negative correlation with the volatility of stock market, and the real effective exchange rate of RMB has the greatest influence on the volatility of stock market.
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本文编号：1683676