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本文运用GARCH模型和EGARCH模型对我国航运企业股票收益率波动性进行分析,并将其与上证综合指数的收益率进行对比,探索航运企业股票收益率的波动性特征。实证研究结果表明:航运企业股票的收益率序列存在着较为显著的异方差性,航运企业股票的波动性与市场风险性较大,并且其收益率序列的波动具有较强的持续性和非对称性,航运企业股票市场总体上存在着杠杆效应,利空消息较利好消息更容易引起较大的波动。
This paper uses GARCH model and EGARCH model to analyze the volatility of stock returns of Chinese shipping companies and compares them with the returns of Shanghai Composite Index to explore the volatility characteristics of the stock returns of shipping companies. The empirical results show that there is a significant heteroskedasticity in the returns of the stock of shipping enterprises. The volatility and market risk of the stock of shipping enterprises are relatively large, and the volatility of the yield series is relatively persistent and asymmetric In general, there is a leverage effect on the stock market of shipping enterprises, and bad news is more likely to cause greater volatility than good news.