中国新能源股票市场收益及其波动相关性
China's New Energy Stock Market Returns and Its Volatility Correlation
熊鸿军 1石峰 2周家贤3
作者信息
- 1. 上海电机学院商学院,上海 201306
- 2. 南宁师范大学经济与管理学院,广西南宁 530299
- 3. 澳门城市大学商学院,中国澳门 999078
- 折叠
摘要
本文利用2017年9月至2022年9月中国中证新能源指数、中证航空主题指数、中证医药健康100策略指数、中证农业主题指数和中证有色金属指数的交易日收盘价数据,采用3种多元GARCH模型(CCC-GARCH、DCC-GARCH和ADCC-GARCH)探索中国新能源公司与航空公司、医药健康公司、农业公司以及有色金属公司之间的动态股票收益与波动相关性.条件均值方程的估计结果显示,航空公司、医药健康公司与农业公司滞后1期的股票收益显著影响新能源公司的当期股票收益.CCC-GARCH、DCC-GARCH和ADCC-GARCH 模型估计的条件相关系数表明,样本期内中国新能源公司的股票回报与有色金属公司的股票回报的条件相关性最大,其次依次为航空公司、农业公司和医药健康公司.通过滚动向前一步的动态条件相关性检验也表明了估计结果的稳定性.因此,投资者可以考虑将有色金属公司的股市表现作为预测新能源公司股票回报的先行指标,以降低投资风险.
Abstract
The paper utilizes the daily closing price data of the China Securities Index's New Energy Index,Aviation Theme Index,Pharmaceutical and Health 100 Strategy Index,Agricultural Theme Index,and Nonferrous Metal Index from September 2017 to September 2022.It applies three multivariate GARCH models to explore the dynamic stock return and volatility correlations between Chinese new energy companies,aviation companies,pharmaceutical and health companies,agricultural companies,and nonferrous metal companies.The estimation results of the conditional mean equation show that the lagged one-period stock returns of aviation companies,pharmaceutical and health companies,and agricultural companies significantly influence the current stock returns of new energy companies.The estimated conditional correlation coefficients of CCC-GARCH,DCC-GARCH,and ADCC-GARCH models indicate that the conditional correlation between the stock returns of Chinese new energy companies and nonferrous metal companies is the highest during the sample period,followed by aviation companies,agricultural companies,and pharmaceutical and health companies.The dynamic conditional correlation test by rolling forward also shows the stability of the estimation results.Therefore,investors may consider using the stock market performance of nonferrous metal companies as a leading indicator for predicting the stock returns of new energy companies to reduce investment risk.
关键词
新能源股票市场/多元GARCH模型/CCC-GARCH模型/DCC-GARCH模型/ADCC-GARCH模型Key words
new energy stock market/multivariate GARCH model/CCC-GARCH model/DCC-GARCH model/ADCC-GARCH model引用本文复制引用
基金项目
广西哲学社会科学规划研究课题一般项目(22BJL005)
出版年
2024
NETL
NSTL
万方数据