并购浪潮与股市波动:基于EMD的相关性检验与解释  

M&A Wave and Stock Market Fluctuation:Correlation Test and Interpretation Based on EMD Method

作　　者：后锐[1] 伍嘉文[1] 罗智[1] 

机构地区：[1]广东工业大学管理学院,广东广州510520

出　　处：《系统工程》2013年第9期44-50,共7页Systems Engineering

基　　金：国家自然科学基金资助项目(71103044);广东省普通高校人文社会科学研究基地重大项目(10JDXM63005)

摘　　要：为了解释中国企业并购潮现象,本文创新性地将并购潮波动信息分解为若干个信号波,并试图利用股市波动信息来解释中国并购潮形成的影响因素。其具体方法是,基于中国证券市场数据和并购活动数据,运用EMD技术将并购活动时间序列和上证指数时间序列分解成为多尺度时间序列:趋势项、低频项和高频项3个分量,分别对相应的分量进行Pearson相关性检验发现,并购时间序列的趋势项高度相关、低频项中度相关,而高频项完全不相关。由于股市指数序列承载了足够的宏观经济、政府政策和投资者行为信息,从而可以通过分析股市波动的因素间接地讨论中国企业并购潮的形成原因。研究结果表明,中国宏观经济持续增长是中国并购潮长期波动的主因,而产业结构调整、政府政策和资本市场短期非理性投资行为等则是中国并购潮局部波动的重要因素。In order to explain M＆A wave phenomenon in China, this paper decomposes the sequence of M＆A activities into several signal waves innovatively, and tries to explore the influencing factors on MS^-A wave formation in China by taking advantage of the fluctuation information of stock market. This method applies technology of EMD to decompose the sequence of M＆A activities and the sequence of stock market index of Shanghai Stock Exchange （SSE） into three frequency components, including the trend part, low-frequency part and high-frequency part, tests their correlations respectively by Pearson Correlation. We find that that the two trend parts are highly correlated, the low-frequency parts are correlated moderately, and the high-frequency parts have no correlation. Because the indexes of stock market contain so much information of macro economy, government policies and investor＇s behaviors, we can indirectly discuss the forming causes of M＆A wave in China by analyzing the factors of stock market wave. The result shows that, the continued growth of China^s macro economy is the main cause of long-term wave fluctuations of China＇s M＆A wave, and the adjustment and reconstruction of industrial structure, government policies and irrational investment behavior in capital market are the important factors on the local and short-term fluctuations of China＇s M＆A wave.

关 键 词：并购浪潮 股票波动 经验模态分解(EMD) 

分 类 号：F830[经济管理—金融学]