本文關(guān)鍵詞：行業(yè)因素對(duì)股票價(jià)格波動(dòng)率的影響研究　出處：《山東大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

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【摘要】：在金融投資領(lǐng)域以及資產(chǎn)配置實(shí)踐操作中,不論從機(jī)構(gòu)投資者的配置策略還足從板塊活躍程度來(lái)看,行業(yè)的不同會(huì)導(dǎo)致股價(jià)波動(dòng)性的差異,這一理念更足被貫徹到券商和基金等機(jī)構(gòu)投資者的諸如行業(yè)研究部等研究職能部門的設(shè)置上。雖然學(xué)界早就認(rèn)識(shí)到了行業(yè)因素對(duì)經(jīng)濟(jì)和股市的重要影響,但顯然遠(yuǎn)不如金融投資業(yè)界重視,對(duì)行業(yè)因素影響股價(jià)問(wèn)題的研究仍然較為零散,缺乏系統(tǒng)性。 鑒于理論和實(shí)踐的差距,本文重點(diǎn)從行業(yè)自身因素這一層面分析,探討了行業(yè)對(duì)經(jīng)濟(jì)周期敏感性、行業(yè)所處生命周期、行業(yè)的市場(chǎng)結(jié)構(gòu)等行業(yè)因素對(duì)股票價(jià)格波動(dòng)的影響機(jī)制,選擇了鋁冶煉、銅礦及銅冶煉、金礦及金冶煉、棉花種植、人造纖維制造、制糖業(yè)等六個(gè)行業(yè)進(jìn)行實(shí)證,并嘗試用面板數(shù)據(jù)模型分析各種行業(yè)因素變量對(duì)股票價(jià)格波動(dòng)率的影響。 理論分析部分借助經(jīng)典的股票價(jià)值模型,利用Campbell波動(dòng)率分解模型將市場(chǎng)波動(dòng)率從行業(yè)波動(dòng)率中剔除,得到行業(yè)特質(zhì)波動(dòng)率,進(jìn)而由行業(yè)因素對(duì)行業(yè)特質(zhì)波動(dòng)率的影響進(jìn)行分析得到理論模型。在實(shí)證分析部分,采用幾何布朗運(yùn)動(dòng)模型刻畫股價(jià)運(yùn)動(dòng),參考理論分析的指標(biāo)作為變量,綜合考慮代表性和數(shù)據(jù)可得性選取樣本,編制行業(yè)股票價(jià)格指數(shù),構(gòu)建面板數(shù)據(jù)模型進(jìn)行計(jì)檢驗(yàn),以量化這些因素影響股票價(jià)格波動(dòng)率的程度。從目前的文獻(xiàn)來(lái)看,國(guó)內(nèi)對(duì)行業(yè)因素影響股票價(jià)格波動(dòng)的產(chǎn)生、傳導(dǎo)、發(fā)揮作用的機(jī)制的探討較少,本文的分析將豐富這方面的研究。此外,對(duì)行業(yè)因素影響股票價(jià)格波動(dòng)的具體指標(biāo)進(jìn)行實(shí)證將有助于進(jìn)一步細(xì)化和量化這些因素影響的方向和程度。在投資實(shí)踐中,雖然業(yè)界重視行業(yè)因素對(duì)資產(chǎn)價(jià)格的影響,但在具體操作中,各種具體行業(yè)因素指標(biāo)足否都有影響、影響足否相同、不同的行業(yè)因素變量的影響程度足多少等,這些問(wèn)題都還沒(méi)有得到一致的答案。本文通過(guò)對(duì)有所選取的六個(gè)行業(yè)27個(gè)季度數(shù)據(jù)的實(shí)證研究試圖得到上述問(wèn)題的答案,為股票資產(chǎn)配置提供解決思路,為證券市場(chǎng)的行業(yè)研究、行業(yè)分析做出啟示與參考,并對(duì)金融投資機(jī)構(gòu)的金融風(fēng)險(xiǎn)計(jì)量、預(yù)測(cè)和管理有指導(dǎo)意義。
[Abstract]:In the field of financial investment and asset allocation practice, whether from the allocation strategy of institutional investors or from the level of plate activity, different industries will lead to the volatility of stock prices. This concept has been more fully implemented in institutional investors such as securities firms and funds, such as the establishment of research functions such as industry research, although the academic community has long recognized the important impact of industry factors on the economy and the stock market. However, the research on the influence of industry factors on stock price is still scattered and lack of systematicness. In view of the gap between theory and practice, this paper focuses on the analysis of the industry's own factors, and discusses the industry's sensitivity to the economic cycle and the industry's life cycle. The influence mechanism of market structure and other industry factors on stock price fluctuation has chosen aluminum smelting, copper and copper smelting, gold and gold smelting, cotton planting, man-made fiber manufacturing. Six industries, such as sugar industry, are tested and the panel data model is used to analyze the influence of various industry factors on the volatility of stock price. The theoretical analysis part uses the classical stock value model and the Campbell volatility decomposition model to remove the market volatility from the industry volatility and get the industry characteristic volatility. In the part of empirical analysis, the geometric Brownian motion model is used to describe the stock price movement, and the index of theoretical analysis is used as the variable. Taking into account the representativeness and the availability of data, we select samples, compile the industry stock price index, and construct the panel data model to measure and test. In order to quantify the extent of these factors affecting the volatility of stock prices. From the current literature, the domestic industry factors affect the emergence of stock price fluctuations, conduct, play a role in the mechanism of less discussion. The analysis of this paper will enrich the research in this field. It will be helpful to further refine and quantify the direction and extent of the impact of the industry factors on the stock price volatility. In the investment practice. Although the industry attaches importance to the impact of industry factors on asset prices, but in the specific operation, a variety of specific industry factor indicators have an impact, the impact is the same, the degree of influence of different industry factors variable is sufficient, and so on. These questions have not been answered unanimously. This paper tries to get the answers to the above questions through empirical research on 27 quarters of selected six industries to provide solutions for the allocation of stock assets. For the industry research of the securities market, the industry analysis makes the enlightenment and the reference, and has the guidance significance to the financial risk measurement, the forecast and the management of the financial investment institution.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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