【摘要】：由于近幾年中國經(jīng)濟社會的巨大發(fā)展,中國的經(jīng)濟總量已經(jīng)躍居世界第二。我國境內(nèi)股市已經(jīng)成為全球第三大市場,僅次于美國和日本,股市投資者規(guī)模數(shù)量全球最大,與此同時,國家對農(nóng)業(yè)的重視和支持也有增無減,發(fā)展現(xiàn)代農(nóng)業(yè)離不開證券市場。作為投資者規(guī)模數(shù)量最大的國家,應(yīng)該讓證券市場更好的為農(nóng)業(yè)服務(wù)。證券市場對農(nóng)業(yè)的促進作用通過農(nóng)業(yè)上市公司來實現(xiàn),農(nóng)業(yè)上市公司的股價波動會影響到農(nóng)業(yè)上市公司。因此,研究農(nóng)業(yè)類上市公司波動的規(guī)律、特點和影響農(nóng)業(yè)上市公司股價波動的因素不僅對宏觀政策決策者、經(jīng)營者和投資者有意義,而且對農(nóng)業(yè)現(xiàn)代化的發(fā)展也具有指導(dǎo)作用。 本文選取了農(nóng)林牧漁板塊的58只股票和農(nóng)林指數(shù)作為研究對象,運用了描述性統(tǒng)計的方法總體上分析了農(nóng)業(yè)類上市公司股價波動現(xiàn)象和原因,在這個基礎(chǔ)上運用GARCH族模型深入研究了農(nóng)業(yè)類上市公司股價波動的規(guī)律。實證結(jié)果表明：第一,農(nóng)業(yè)類上市公司存在“二月紅”現(xiàn)象；第二,農(nóng)業(yè)上市公司股票的收益率存在顯著的GARCH效應(yīng)。農(nóng)業(yè)上市公司日收益率的分布不服從正態(tài)分布,存在明顯的“尖峰厚尾”的現(xiàn)象；對日收益進行擬合后的殘差的平方具有顯著的易變性和聚集性。第三,用GARCH(1，，1)模型擬合后,系數(shù)β(?)＋α(?)非常的接近于1,表明條件方差所受的沖擊是持久的,即沖擊對未來的預(yù)測都有重要的作用。第四,對農(nóng)業(yè)上市公司股票進行TARCH擬合時,發(fā)現(xiàn)其非對稱效應(yīng)不顯著,因而受利空和利好消息的影響時,波動不會有較大的差異。
[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 (?) + 偽 (?) 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.
【學位授予單位】：山東理工大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F324;F832.51;F224

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