中国股票市场行业板块波动研究

发布时间：2018-01-09 18:22

本文关键词：中国股票市场行业板块波动研究　出处：《东华理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：行业因素历来是市场参与者考察股市情况时需考虑的重要因素之一。随着中国股票市场机制逐渐成熟，行业板块的波动性能够在很大程度上表现出行业的风险性。因此，股市波动受行业因素影响的程度如何，各行业股票价格指数间的波动表现出怎样的波动特征和规律都成了投资者所关心的问题，同时也是国内外众多学者广泛关注的问题。本文首先介绍了国内外对股市波动和行业板块波动的研究情况；其次，阐述了相关基础理论包括波动性定义和衡量指标、行业分类理论和文中运用到的模型；然后从定性角度对中国股票市场行业板块波动现状和影响因子进行描述。在此基础上，选取了沪深300指数和沪深300行业分类的10个行业指数为样本，借助Eviews和SPSS软件，采用多元回归模型、ARCH族模型、格兰杰因果检验等方法，实证研究了中国股票市场行业板块波动的特性和关联度问题。研究发现，中国股票市场各行业板块对股市整体波动的贡献度存在着明显的差别。同时，行业板块波动存在着波动集聚性、持续性和急剧冲击性特点，并且行业板块的波动性很大程度上可由自身进行解释。行业板块间存在着显著的相关性和格兰杰因果关系，表明行业之间存在着波动的传导性。最后，，根据实证结果，结合定性分析，给投资者、上市公司及宏观政策制定者提供了相关建议。
[Abstract]:Industry factors have always been one of the important factors to be considered when market participants investigate the stock market situation. As the mechanism of Chinese stock market matures gradually. The volatility of the industry sector can to a large extent show the risk of the industry. Therefore, the extent to which the volatility of the stock market is affected by industry factors. The volatility of stock price indices in various industries has become an issue of concern to investors, as well as a problem widely concerned by many scholars at home and abroad. This paper first introduces the domestic and foreign research on stock market volatility and industry sector volatility; Secondly, related basic theories including volatility definition and measurement index, industry classification theory and the model used in this paper are expounded. Then from the qualitative point of view, the paper describes the current situation and influencing factors of the industry sector volatility in China's stock market. On this basis, 10 industry indices classified by Shanghai and Shenzhen 300 are selected as samples. With the help of Eviews and SPSS, the multivariate regression model and Granger causality test were used. This paper empirically studies the characteristics and correlation degree of the industry sector volatility in China's stock market. It is found that the contribution of Chinese stock market sectors to the overall stock market volatility is obviously different. At the same time. Industry plate fluctuation has the characteristics of agglomeration, persistence and sharp impact. And the volatility of industry plate can be explained by itself to a large extent. There is a significant correlation and Granger causality among industry plates, indicating that there is volatility conductivity between industries. Finally. According to the empirical results, combined with qualitative analysis, to investors, listed companies and macro-policy makers to provide relevant advice.
【学位授予单位】：东华理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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