【摘要】：通過構(gòu)建MS(3)-ARCH(3)模型,對2003年1月—2014年3月間的上證指數(shù)以及五大上市公司的對數(shù)收益率進行分析,比較投資者對整個資本市場以及在農(nóng)業(yè)、工業(yè)、房地產(chǎn)業(yè)、金融服務(wù)業(yè)和新興產(chǎn)業(yè)的投資狀況,系統(tǒng)研究我國經(jīng)濟周期對投資策略的影響。實證研究結(jié)果表明:上證指數(shù)和所選各行業(yè)的藍籌股對數(shù)收益率在低迷期、穩(wěn)定期和不穩(wěn)定期的特征表現(xiàn)大致相同,相對于新興產(chǎn)業(yè)來說,狀態(tài)轉(zhuǎn)換不頻繁,受經(jīng)濟周期影響不大,但不同行業(yè)之間略有差異;所選新興產(chǎn)業(yè)股票在低迷期及不穩(wěn)定期對數(shù)收益率為負,狀態(tài)轉(zhuǎn)換非常頻繁,說明新興產(chǎn)業(yè)領(lǐng)域的投資情緒不穩(wěn)定,容易受宏觀經(jīng)濟環(huán)境的影響。
[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.
【作者單位】： 吉林大學(xué)經(jīng)濟學(xué)院;
【基金】：吉林省科技廳軟科學(xué)項目(20110641)
【分類號】：F124;F224

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