“一带一路”主题指数收益率波动性研究——基于ARMA-GARCH模型的分析  

A Study on the Yield Volatility of "The Belt and Road" Theme Index——Analysis based on ARMA-GARCH model

作　　者：牛华勇[1] 窦一轩 

机构地区：[1]北京外国语大学国际商学院

出　　处：《价格理论与实践》2022年第6期77-81,共5页Price:Theory & Practice

基　　金：民营企业扶持政策与企业创新决策:作用路径与影响因素研究(项目号:71974019);北京外国语大学双一流项目:“一带一路”国家商务环境系列研究:澜沧江—湄公河流域国家产业投资研究(YY19ZZA009)。

摘　　要：自2013年9月习近平总书记提出“一带一路”倡议后,我国与沿线各国的经贸关系日益深入,反映在资本市场,即“一带一路”概念股的市场表现逐步受到关注。中证“一带一路”主题指数作为我国市场上最早以相关概念企业作为成分股编制的指数之一,对于分析“一带一路”的发展情况具有较强的代表性。选取该指数2013年1月4日至2021年12月10日期间相关数据作为观测值,对指数对数收益率序列进行ARMA-GARCH模型的拟合,分析“一带一路”产业发展状况及其未来走势。研究发现:尽管中证“一带一路”主题指数受新冠疫情影响发生过较大波动,但在国际国内双循环持续推进的背景下,其波动规律逐渐趋于稳定,“一带一路”合作发展正在进入一个新的发展阶段。为此,应继续加大“一带一路”经贸投资合作,发挥金融机构的资金融通能力,创新“一带一路”主题指数预测方法,并及时发布预测结果。Since "the Belt and Road" initiative proposed by General Secretary Xi Jinping in September 2013, the deepening economic and trade relations between China and countries along the Belt and Road(B&R) are reflected in the capital market, namely the market performance of the "the Belt and Road" concept stocks. As one of the earliest indexes in China’s market compiled with relevant concept enterprises as constituent stocks, the CSI "the Belt and Road" theme index is highly representative for analyzing the development of the B&R. This paper selects the relevant data of the index from January 4,2013 to December 10, 2021 as the observation value, fits the ARMA-GARCH model to the index logarithmic return series,and analyzes the development status and future trend of the B&R industry. The study found that although the CSI the Belt and Road theme index has experienced large fluctuations due to the impact of the COVID-19 epidemic, its fluctuation law has gradually stabilized under the background of the continuous advancement of the international and domestic dual cycles. The B&R cooperation and development is entering a new stage. To this end, it is necessary to continue to increase the B&R economic and trade investment cooperation, give full play to the capital financing capabilities of financial institutions, innovate the B&R theme index forecasting methods, and release the forecast results in a timely manner.

关 键 词：“一带一路” 资本市场 资金融通能力 中证“一带一路”主题指数 

分 类 号：F125[经济管理—世界经济] F832.51