本文選題：中小板　切入點：股市波動　出處：《福建論壇(人文社會科學版)》2017年05期

【摘要】：針對中小板市場以及宏觀經濟數(shù)據的尖峰厚尾、結構突變等特征,以及多維模型的維數(shù)災難問題和經濟金融統(tǒng)計數(shù)據較少的現(xiàn)實,借助自適應Lasso懲罰貝葉斯分位數(shù)回歸模型,實證研究2006-2015年宏觀經濟環(huán)境變化與中小板綜合指數(shù)極差波動的關系。結果表明:宏觀經濟環(huán)境對中小板市場波動有顯著影響,工業(yè)增加值和適度通貨膨脹能夠平緩股市波動,且抑制作用隨波動加劇增大;銀行同業(yè)拆借利率與股市波動微弱負相關,人民幣實際有效匯率對股市波動的促進影響最大。
[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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本文編號：1683676