经济增速下行阶段我国股波动敏感因素分析-系统工程学报.PDF

第33 卷第4 期 系统工 程 学 报 Vol.33 No.4 2018 年8 月 JOURNAL OF SYSTEMS ENGINEERING Aug. 2018 经济增速下行阶段我国股市波动敏感因素分析 叶 莉, 李伯龙 (河北工业大学经济管理学院, 天津300401) 摘要: 在滚动窗口回归的框架下分析我国股市波动驱动因素的时变特征. 利用component-wise gradient boosting处理 高维备选变量集合, 允许波动率的解释变量在不同时间段内存在差异. 分别以线性及树形基分类器考察波动率短期 及长期敏感因素的变化. 得出各经济变量对波动率的主要作用区间和作用符号. 研究表明随着我国经济增速下行, 股市波动对宏观基本面因素的敏感度上升, 国际经济因素对我国股市波动具有较为持续的长期影响. 关键词: 经济增速下行; 股市波动; 驱动因素; boosting算法 中图分类号: F832.5 文献标识码: A 文章编号:2018 doi: 10.13383/ki.jse.2018.04.006 Major drivers of China’s stock market volatility during slowing economy Ye Li, Li Bolong (School of Economics and Management, Hebei University of Technology, Tianjin 300401, China ) Abstract: This paper investigates the time-varying drivers of China’s stock market volatility in a moving win- dow regression framework. Component-wise gradient boosting is applied to high-dimension predictor variable set and explanatory variables of volatility can be different through periods. Linear base learners and regression trees are used respectively to analyze the changes of short-term and long-term relevant factors of volatility. Ma- jor intervals and signs of economic variables affecting the volatility are derived. It shows that as the economic growth rate reduces, volatility gets more sensitive to macro-fundamentals than before. International economic variables have a stable long-term effect on China’s stock market volatility. Key words: economic growth reduction; stock market volatility; major drivers; boosting 1 引引引 言言言