农业上市公司股价波动研究
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摘要
现代农业的发展离不开证券市场的支持。证券市场对农业发展的直接支持通过农业上市公司实现。农业上市公司股票价格是来自市场、投资者、经营者等多方面信息的综合反映。因此,研究农业上市公司股票价格波动,揭示波动规律和特征以及价格波动与农业经济发展、农业政策、农业上市公司微观特征的关系,不仅对于农业投资者、市场管理者和农业上市公司经营者决策具有重要的参考价值,而且对于完善股票价格机制、提高市场效率、充分发挥股票市场对农业的支持作用具有一定的现实指导意义。
本文着力于实证角度,采取现代金融计量方法与统计方法开展研究。全文共分七章,第一章梳理国内外股票价格波动与农业上市公司方面的研究现状,发现目前研究存在的问题。第二章运用描述统计方法研究农业上市公司股票价格的基本统计特征。第三章采用自相关分析方法和GARCH系列模型研究农业上市公司股票收益与波动的自相关、聚集性、日期效应和杠杆效应等,在研究股票收益二阶矩的日期效应时,对GARCH模型加入日期虚拟变量,首次假定扰动服从t分布,提高了模型的拟合优度。第四章对农业上市公司股票收益首次建立行业因素模型,研究股票价格波动(风险)的结构特征。第五章研究农业上市公司股价波动与农业经济及政策的关系,揭示农业经济与政策对农业上市公司股票价格波动的影响。第六章研究农业上市公司股价波动与农业上市公司特征的关系。这两章定量化的研究视角均属首次。第七章对全文的研究进行总结,针对一些结论展开思考,并提出相应对策与建议及进一步的研究工作。
本文研究得到以下主要结论:
(1)农业上市公司股票价格走势弱于市场,波动水平强于市场;股票日收益具有尖峰厚尾特征,随着计算收益时间间隔的增大,股票收益趋近于正态分布。
(2)农业上市公司股票价格波动具有聚集性特征,存在一定的日期效应和规模效应。
(3)农业上市公司股票收益和收益波动(风险)之间存在显著的正相关;股票收益对收益波动的影响基本是对称的。
(4)农业上市公司股票价格波动一半左右的原因归于其自身的变化,其次是市场的变化和行业的变化;股票的价格波动与上市公司的每股收益和每股经营性现金流量有显著关系;农业经济政策对农业上市公司股票价格变动有一定程度的影响。
(5)农业上市公司股票价格变化领先于农业经济状况的变化,对农业经济有一定的“晴雨表”作用。
本文的研究结论从农业角度透视出我国股票市场的有效性还不强,投资者的理性程度有待进一步提高,政府相关部门对股票市场与农业上市公司的监管还存在一些问题。因此,建议完善股票市场的信息披露制度,提高股票市场的效率;培育理性农业投资者;加强市场监管,规范农业上市公司募集资金的投向;着力提高农业上市公司质量。
The development of modern agriculture cannot be independent of securities business. The direct support of securities business to agriculture development carry out via listed agriculture company. The price of listed agriculture company is an integrated reflection from omnifarious information such as market, investor, proprietor, etc. The research on price fluctuation of listed agriculture company is significant not only in decision-making for agricultural investor, market governor and proprietor of the agriculture company but also in guidance for perfecting stock price mechanism, increasing stock market efficiency and fully exerting the support role.
From the point of view of empirical study, this research was done by applying modern financial measure method and statistic method. There are seven chapters in this paper. In chapter one, the research status quo of stocks price fluctuation and listed agriculture company both at home and abroad was analyzed so as to find out the existing problems at current study. In chapter two, the basic statistic characteristics of the listed agriculture company price was studied by using descriptive statistic. In chapter three, by applying self-correlation analysis method and GARCH series models, the characteristics such as self-correlation, cluster, date effect and the leverage effect, of the listed agriculture company price and return were studied. In the studying on date effect of the stock return second moment,the dummy date variable was joined in GARCH models and the disturbance was assumed to fit t distributing for the first time, which improved the model fitness. In chapter four, the industry factor models of the listed agriculture company return was established for the first time so as to study the stock risk structure characters. In chapter five, the relationship not only between price fluctuation of the listed agriculture company and agricultural economy but also between price fluctuation and agricultural policy were studied so as to open out the influence of the agricultural economy and agricultural policy on the price fluctuation of the listed agriculture company. In chapter six, the relationship between price fluctuation and it’s characteristics of the listed agriculture company were studied. In chapter seven, the summaries of this paper were given, and some countermeasures, suggestions and future works were put forward.
The main research conclusions are as the following.
(1) The price trend of the listed agriculture company is less than that of the whole stock market, the price fluctuation level of the listed agriculture company is stronger than that of the whole stock market. The daily stock return come forth excess kurtosis and fat-tailed character, the stock return trend to normal distributing while computing return interval become bigger.
(2) The price fluctuation of the listed agriculture company has cluster character, and to some extent it has date effect and scale effect.
(3) There exits remarkable positive correlation between the stock return and the return fluctuation of the listed agriculture company. The influence of the stock return on return fluctuation is symmetrical basically.
(4) About half reason of the price fluctuation of the listed agriculture company attributed to the changing of itself, then to the changing of stock market and industry. The stock price fluctuation has remarkable relation with earning per share and net cash flow per share generated by business operation of the listed agriculture company. The agricultural policy has influence on the price fluctuation of the listed agriculture company to some extent.
(5) The price fluctuation of the listed agriculture company keep ahead of the agricultural economy change, and it plays a role of“rain glass”to some extent for agricultural economy.
From the point of view of agriculture, the results of this paper indicate that the validity of the stock market is not strong, the sense degree of the stock market investor should heighten further, there exist some problems during the process of relevant government departments to monitor and manage the listed agriculture company. Thus, we suggest that the information disclosure system should be perfected, the validity of the stock market should be improved, the sense degree of the stock market investor should be bred, the monitoring and management to stock market should be strengthen, the investing direction of the collected money should be ruled, and the quality of listed agriculture company should exert to be improved.
本文着力于实证角度,采取现代金融计量方法与统计方法开展研究。全文共分七章,第一章梳理国内外股票价格波动与农业上市公司方面的研究现状,发现目前研究存在的问题。第二章运用描述统计方法研究农业上市公司股票价格的基本统计特征。第三章采用自相关分析方法和GARCH系列模型研究农业上市公司股票收益与波动的自相关、聚集性、日期效应和杠杆效应等,在研究股票收益二阶矩的日期效应时,对GARCH模型加入日期虚拟变量,首次假定扰动服从t分布,提高了模型的拟合优度。第四章对农业上市公司股票收益首次建立行业因素模型,研究股票价格波动(风险)的结构特征。第五章研究农业上市公司股价波动与农业经济及政策的关系,揭示农业经济与政策对农业上市公司股票价格波动的影响。第六章研究农业上市公司股价波动与农业上市公司特征的关系。这两章定量化的研究视角均属首次。第七章对全文的研究进行总结,针对一些结论展开思考,并提出相应对策与建议及进一步的研究工作。
本文研究得到以下主要结论:
(1)农业上市公司股票价格走势弱于市场,波动水平强于市场;股票日收益具有尖峰厚尾特征,随着计算收益时间间隔的增大,股票收益趋近于正态分布。
(2)农业上市公司股票价格波动具有聚集性特征,存在一定的日期效应和规模效应。
(3)农业上市公司股票收益和收益波动(风险)之间存在显著的正相关;股票收益对收益波动的影响基本是对称的。
(4)农业上市公司股票价格波动一半左右的原因归于其自身的变化,其次是市场的变化和行业的变化;股票的价格波动与上市公司的每股收益和每股经营性现金流量有显著关系;农业经济政策对农业上市公司股票价格变动有一定程度的影响。
(5)农业上市公司股票价格变化领先于农业经济状况的变化,对农业经济有一定的“晴雨表”作用。
本文的研究结论从农业角度透视出我国股票市场的有效性还不强,投资者的理性程度有待进一步提高,政府相关部门对股票市场与农业上市公司的监管还存在一些问题。因此,建议完善股票市场的信息披露制度,提高股票市场的效率;培育理性农业投资者;加强市场监管,规范农业上市公司募集资金的投向;着力提高农业上市公司质量。
The development of modern agriculture cannot be independent of securities business. The direct support of securities business to agriculture development carry out via listed agriculture company. The price of listed agriculture company is an integrated reflection from omnifarious information such as market, investor, proprietor, etc. The research on price fluctuation of listed agriculture company is significant not only in decision-making for agricultural investor, market governor and proprietor of the agriculture company but also in guidance for perfecting stock price mechanism, increasing stock market efficiency and fully exerting the support role.
From the point of view of empirical study, this research was done by applying modern financial measure method and statistic method. There are seven chapters in this paper. In chapter one, the research status quo of stocks price fluctuation and listed agriculture company both at home and abroad was analyzed so as to find out the existing problems at current study. In chapter two, the basic statistic characteristics of the listed agriculture company price was studied by using descriptive statistic. In chapter three, by applying self-correlation analysis method and GARCH series models, the characteristics such as self-correlation, cluster, date effect and the leverage effect, of the listed agriculture company price and return were studied. In the studying on date effect of the stock return second moment,the dummy date variable was joined in GARCH models and the disturbance was assumed to fit t distributing for the first time, which improved the model fitness. In chapter four, the industry factor models of the listed agriculture company return was established for the first time so as to study the stock risk structure characters. In chapter five, the relationship not only between price fluctuation of the listed agriculture company and agricultural economy but also between price fluctuation and agricultural policy were studied so as to open out the influence of the agricultural economy and agricultural policy on the price fluctuation of the listed agriculture company. In chapter six, the relationship between price fluctuation and it’s characteristics of the listed agriculture company were studied. In chapter seven, the summaries of this paper were given, and some countermeasures, suggestions and future works were put forward.
The main research conclusions are as the following.
(1) The price trend of the listed agriculture company is less than that of the whole stock market, the price fluctuation level of the listed agriculture company is stronger than that of the whole stock market. The daily stock return come forth excess kurtosis and fat-tailed character, the stock return trend to normal distributing while computing return interval become bigger.
(2) The price fluctuation of the listed agriculture company has cluster character, and to some extent it has date effect and scale effect.
(3) There exits remarkable positive correlation between the stock return and the return fluctuation of the listed agriculture company. The influence of the stock return on return fluctuation is symmetrical basically.
(4) About half reason of the price fluctuation of the listed agriculture company attributed to the changing of itself, then to the changing of stock market and industry. The stock price fluctuation has remarkable relation with earning per share and net cash flow per share generated by business operation of the listed agriculture company. The agricultural policy has influence on the price fluctuation of the listed agriculture company to some extent.
(5) The price fluctuation of the listed agriculture company keep ahead of the agricultural economy change, and it plays a role of“rain glass”to some extent for agricultural economy.
From the point of view of agriculture, the results of this paper indicate that the validity of the stock market is not strong, the sense degree of the stock market investor should heighten further, there exist some problems during the process of relevant government departments to monitor and manage the listed agriculture company. Thus, we suggest that the information disclosure system should be perfected, the validity of the stock market should be improved, the sense degree of the stock market investor should be bred, the monitoring and management to stock market should be strengthen, the investing direction of the collected money should be ruled, and the quality of listed agriculture company should exert to be improved.
引文
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