基于ARCH和GARCH模型的重大事件对中国旅游业影响研究——以旅游业作为战略性支柱产业为例  

Influence of Important Events on China's Tourist Industry Based on the ARCH & GARCH Model

作　　者：王航宇[1] 孙玲[1] 王计平[1] 

机构地区：[1]华东理工大学艺术设计与传媒学院,上海200237

出　　处：《淮海工学院学报（自然科学版）》2012年第4期76-80,共5页Journal of Huaihai Institute of Technology:Natural Sciences Edition

基　　金：华东理工大学大学生创新创业计划国家项目(1210251107)

摘　　要：用ARCH和GARCH模型研究"旅游业作为国家战略性产业"事件前后旅游酒店板块上市公司股票指数收益率数据的变动情况,进而探讨该事件对我国旅游业的影响。结果表明,收益率数据存在明显的ARCH效应,该事件很大程度上降低了旅游酒店板块指数收益率的市场波动性,就影响程度而言,远远超过对同期沪深300指数的影响,也超过了2008年金融危机对同板块的影响。该政策稳定了市场状况,降低了投资经营风险,对旅游企业乃至整个旅游产业的长期健康发展起到了良好的促进作用。Based on the ARCH ＆ GARCH model, we analyzed the changes in listed tourism and hotel companies＇ share Iinex rate of return after the introduction of the policy of ＂appointing tourist industry as one of the national strategic pillar industries＂, and we discussed its influence on China＇s tourist industry. Through an empirical analysis, we found that there was an apparent ARCH Effect in the rate of return, and the policy reduced to a large degree the volatility of the rate of return. It was also found that the event exerted a more significant influence on the sector than CSI 300 index and the 2008 financial crisis. vestment and operaicion risk, and contributed to even the tourist industry as a whole. The policy stabilized the market, lowered the in- the healthy development of travel companies and

关 键 词：ARCH和GARCH模型 重大事件 旅游酒店板块 

分 类 号：F590[经济管理—旅游管理]