农业类上市公司股票价格波动性研究——基于GARCH模型族的实证分析  

Research on the Stock Price Volatility of Agricultural Listed Companies——Based on the empirical analysis of GARCH model family

作　　者：杨娜娜 Yang Nana

机构地区：[1]广州商学院经济学院

出　　处：《价格理论与实践》2020年第10期96-99,共4页Price:Theory & Practice

基　　金：2018年广东省高等教育教学研究和改革项目《金融科技背景下互联网金融专业人才培养体验式教学与模式设计》,项目编号2018SJJXGG01;广州商学院2018年度优秀课程建设项目《公司金融》,项目编号XJYXKC201802。

摘　　要：股票价格波动是市场基本特征之一,研究农业类上市公司股票价格的波动性,对股票市场与农业类企业具有积极作用。本文选取农业类上市公司股票以及各种典型的农林指数,采用GARCH模型族研究农业性质的上市公司股票价格波动的特点及原因。研究发现:农业类上市公司的股价波动持续时间较长;股价波动的非对称性不是十分明显,市场好或坏消息对波动幅度差异的作用效果较小,股价向上或者向下变化幅度不会过大;股价波动过程中风险与收益成正比。基于以上结论,提出继续加大资本市场对农业类上市公司的支持力度、发挥农业类上市类公司科技创新示范效应等建议。Stock price volatility is one of the basic characteristics of the market. The study of the volatility of the stock price of agricultural listed companies has a positive effect on the stock market and agricultural enterprises. This paper selects agricultural listed company stocks and various typical agricultural and forestry indexes, and uses GARCH model family to study the characteristics and reasons of agricultural listed company stock price fluctuations. The study found that the stock price fluctuations of agricultural listed companies lasted for a long time;the asymmetry of stock price fluctuations was not very obvious,the effect of market good or bad news on the difference of volatility was small, and the upward or downward changes in stock prices would not be too large;In the process of stock price fluctuations, the risk is directly proportional to the return. Based on the above conclusions, suggestions are made to encourage innovation in agricultural scientific research, improve the efficiency of subsidies, and promote the stable development of the stock market.

关 键 词：农业类上市公司 股价波动 股票收益率 GARCH模型族 

分 类 号：F832.51[经济管理—金融学] F324F302.6