本文關(guān)鍵詞：行業(yè)因素對股票價格波動率的影響研究　出處：《山東大學》2013年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 行業(yè)因素 股票價格 波動率

【摘要】：在金融投資領(lǐng)域以及資產(chǎn)配置實踐操作中,不論從機構(gòu)投資者的配置策略還足從板塊活躍程度來看,行業(yè)的不同會導(dǎo)致股價波動性的差異,這一理念更足被貫徹到券商和基金等機構(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。雖然學界早就認識到了行業(yè)因素對經(jīng)濟和股市的重要影響,但顯然遠不如金融投資業(yè)界重視,對行業(yè)因素影響股價問題的研究仍然較為零散,缺乏系統(tǒng)性。 鑒于理論和實踐的差距,本文重點從行業(yè)自身因素這一層面分析,探討了行業(yè)對經(jīng)濟周期敏感性、行業(yè)所處生命周期、行業(yè)的市場結(jié)構(gòu)等行業(yè)因素對股票價格波動的影響機制,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)等六個行業(yè)進行實證,并嘗試用面板數(shù)據(jù)模型分析各種行業(yè)因素變量對股票價格波動率的影響。 理論分析部分借助經(jīng)典的股票價值模型,利用Campbell波動率分解模型將市場波動率從行業(yè)波動率中剔除,得到行業(yè)特質(zhì)波動率,進而由行業(yè)因素對行業(yè)特質(zhì)波動率的影響進行分析得到理論模型。在實證分析部分,采用幾何布朗運動模型刻畫股價運動,參考理論分析的指標作為變量,綜合考慮代表性和數(shù)據(jù)可得性選取樣本,編制行業(yè)股票價格指數(shù),構(gòu)建面板數(shù)據(jù)模型進行計檢驗,以量化這些因素影響股票價格波動率的程度。從目前的文獻來看,國內(nèi)對行業(yè)因素影響股票價格波動的產(chǎn)生、傳導(dǎo)、發(fā)揮作用的機制的探討較少,本文的分析將豐富這方面的研究。此外,對行業(yè)因素影響股票價格波動的具體指標進行實證將有助于進一步細化和量化這些因素影響的方向和程度。在投資實踐中,雖然業(yè)界重視行業(yè)因素對資產(chǎn)價格的影響,但在具體操作中,各種具體行業(yè)因素指標足否都有影響、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,這些問題都還沒有得到一致的答案。本文通過對有所選取的六個行業(yè)27個季度數(shù)據(jù)的實證研究試圖得到上述問題的答案,為股票資產(chǎn)配置提供解決思路,為證券市場的行業(yè)研究、行業(yè)分析做出啟示與參考,并對金融投資機構(gòu)的金融風險計量、預(yù)測和管理有指導(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.
【學位授予單位】：山東大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

【參考文獻】

相關(guān)期刊論文 前9條

1 孔憲麗;高鐵梅;;中國工業(yè)行業(yè)投資增長波動的特征及影響因素——基于10個主要工業(yè)行業(yè)的實證分析[J];中國工業(yè)經(jīng)濟;2007年11期

2 楊曉東;;股票市場行業(yè)波動持續(xù)性研究[J];管理觀察;2008年11期

3 姜繼嬌;楊乃定;;行業(yè)特征、市場情緒與收益波動[J];管理學報;2006年05期

4 湯光華;張彬;張智謀;;中國股市行業(yè)系統(tǒng)風險的差異性檢驗及擴展研究[J];中大管理研究;2008年01期

5 楊榮;我國上市公司并購活動行業(yè)集中性現(xiàn)象的成因分析[J];企業(yè)經(jīng)濟;2005年08期

6 唐璐;魏凌艷;;滬市行業(yè)指數(shù)波動特性研究[J];商場現(xiàn)代化;2008年11期

7 余壽喜;韓立巖;;中國股票市場行業(yè)交易額分布特征研究[J];首都經(jīng)濟貿(mào)易大學學報;2006年03期

8 史美景;隨機效應(yīng)方差分量模型及應(yīng)用——股票換手率及行業(yè)因素對收益率影響的定量分析[J];山西財經(jīng)大學學報;2002年01期

9 張根明;任福勻;;我國證券市場行業(yè)板塊的波動特點分析[J];統(tǒng)計與決策;2006年01期

，

本文編號：1430818