摘要
为了研究我国石油行业与农业机械行业之间的波动溢出效应,了解石油行业波动对农业机械行业的影响,通过对上证、深证的上市公司情况进行分析,选取合适的股票计算了石油行业与农业机械行业综合指数;采用GARCH的方法,验证了石油行业日收益率波动对农业机械行业日收益率存在着强烈的溢出效应,最后提出了相应的对策建议。
In order to study the volatility spillover effect between the petroleum industry and the agricultural machinery industry in our country and find out the influence of the volatility of the petroleum industry upon the volatility of the agricultural machinery industry, the paper selects suitable stock to compute the aggregative index number of the petroleum industry and the agricultural machinery industry by analyzing the listed companies of Shanghai Stock Exchange and Shenzhen Stock Exchange. By adopting GARCH analysis, it verifies a strong volatility spillover effect of the daily earning rate volatility of the petroleum industry upon the daily earning rate of the agricultural machinery industry. And in the end, it puts forward some advice on policy for the relevant problems.
出处
《农机化研究》
北大核心
2006年第11期77-80,共4页
Journal of Agricultural Mechanization Research
基金
河北省社科规划项目(200502016)
河北省科技研发项目(05457242)
关键词
农业经济
波动溢出
理论研究
日收益率
综合指数
GARCH
agricultural economy
volatility spillover
theoretical research
daily earning rate
aggregative indexnumber
GARCH