结合货币政策研究股票市场的价格波动情况  

Research on the Price Fluctuation of Stock Market in Combination with Monetary Policy

作　　者：王丽云[1] 张德飞[1] 

机构地区：[1]红河学院数学与统计学院,云南 蒙自

出　　处：《应用数学进展》2024年第7期3417-3424,共8页Advances in Applied Mathematics

摘　　要：本文通过大智慧软件收集上证指数、上证电信、上证能源、云南白药等四支股票的日开盘价数据,从中国人民银行货币政策大事记中选取2015年1月1日至2019年12月31日期间,我国的20次存款准备金率和存款基准利率调整事件作为外生变量,通过R软件进行实证分析,构建时间序列的EGARCH(p, q)模型,结合模型参数,根据一些评价指标构建时间序列模型,把外生变量分别添加在模型的方差和均值方程中,以此讨论对股市收益、波动的影响,给投资者和政策研究人员提供良好的决策参考。This paper collects the daily opening price data of four stocks including Shanghai Stock Exchange Index, Shanghai Telecom, Shanghai energy and Yunnan Baiyao through great wisdom software, selects 20 adjustments of China’s deposit reserve ratio and deposit benchmark interest rate during the period from January 1, 2015 to December 31, 2019 from the monetary policy memorabilia of the people’s Bank of China as exogenous variables, conducts empirical analysis through R software, constructs EGARCH(p, q) model of time series, and combines the model parameters, The time series model is constructed according to some evaluation indexes, and the exogenous variables are added to the variance and mean value equations of the model respectively, so as to discuss the impact on the stock market returns and fluctuations, and provide good decision-making reference for investors and policy researchers.

关 键 词：股票市场 货币政策调整 EGARCH(p q)模型 

分 类 号：F83[经济管理—金融学]