本文關(guān)鍵詞：中國股票市場行業(yè)板塊波動研究　出處：《東華理工大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股票市場 行業(yè)板塊 波動 實證研究

【摘要】：行業(yè)因素歷來是市場參與者考察股市情況時需考慮的重要因素之一。隨著中國股票市場機制逐漸成熟，行業(yè)板塊的波動性能夠在很大程度上表現(xiàn)出行業(yè)的風(fēng)險性。因此，股市波動受行業(yè)因素影響的程度如何，各行業(yè)股票價格指數(shù)間的波動表現(xiàn)出怎樣的波動特征和規(guī)律都成了投資者所關(guān)心的問題，同時也是國內(nèi)外眾多學(xué)者廣泛關(guān)注的問題。 本文首先介紹了國內(nèi)外對股市波動和行業(yè)板塊波動的研究情況；其次，闡述了相關(guān)基礎(chǔ)理論包括波動性定義和衡量指標(biāo)、行業(yè)分類理論和文中運用到的模型；然后從定性角度對中國股票市場行業(yè)板塊波動現(xiàn)狀和影響因子進行描述。在此基礎(chǔ)上，選取了滬深300指數(shù)和滬深300行業(yè)分類的10個行業(yè)指數(shù)為樣本，借助Eviews和SPSS軟件，采用多元回歸模型、ARCH族模型、格蘭杰因果檢驗等方法，實證研究了中國股票市場行業(yè)板塊波動的特性和關(guān)聯(lián)度問題。研究發(fā)現(xiàn)，中國股票市場各行業(yè)板塊對股市整體波動的貢獻度存在著明顯的差別。同時，行業(yè)板塊波動存在著波動集聚性、持續(xù)性和急劇沖擊性特點，并且行業(yè)板塊的波動性很大程度上可由自身進行解釋。行業(yè)板塊間存在著顯著的相關(guān)性和格蘭杰因果關(guān)系，表明行業(yè)之間存在著波動的傳導(dǎo)性。最后，，根據(jù)實證結(jié)果，結(jié)合定性分析，給投資者、上市公司及宏觀政策制定者提供了相關(guān)建議。
[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.
【學(xué)位授予單位】：東華理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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