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“消息”(News),对于验证市场有效性和研究股票市场的波动特征,具有重要价值.本文基于消息模型(News Model),对上证A股综合指数及其相关影响因素进行了实证分析.通过对样本数据分别利用ARMA(Autoregression Moving Average)、VAR(Vector Autoregressive)、HPF(Hodrick Prescott Fliter)模型提取消息部分,进行回归分析;再利用估计ARDL(Autoregressive Distributed Lag)形式的消息模型,检验相关因素对股市是否存在滞后效应.实证结果显示,一方面,与对众多国外市场的研究保持一致,论文对于中国股票市场的研究同样证实,消息对股市是具有影响力的,另一方面,我们还得出以下结论:(1)财政收入消息对股市存在显著的影响;(2)财政支出消息对股市存在显著的正向影响;(3)消息对股市影响的滞后效应不明显.
“News ” is of great value for verifying the market’s effectiveness and studying the volatility of the stock market.Based on the News Model, this paper empirically analyzes the composite index of Shanghai A-share and its related influencing factors By using ARMA (Autoregression Moving Average), VAR (Vector Autoregressive) and HPF (Hodrick Prescott Fliter) model respectively, the regression analysis was performed on the sample data, and the message model of ARDR (Autoregressive Distributed Lag) The empirical analysis shows that, on the one hand, consistent with the research on many foreign markets, the research on the Chinese stock market also confirms that the news is influential on the stock market. On the other hand, we We also draw the following conclusions: (1) The financial revenue has a significant impact on the stock market; (2) There is a significant positive impact of the financial expenditure on the stock market; (3) The lagged effect of the news on the stock market is not obvious.