| 中国水产品市场价格波动特征研究 |
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| 引用本文： | 王威巍,梁鸽峰,孙琛. 中国水产品市场价格波动特征研究[J]. 中国渔业经济, 2016, 0(2): 53-60. DOI: 10.3969/j.issn.1009-590X.2016.02.008 |
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| 作者姓名： | 王威巍 梁鸽峰 孙琛 |
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| 作者单位： | 上海海洋大学 经济管理学院,上海,201306 |
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| 摘 要： | 文章基于2004年10月到2013年12月的月度时间序列数据,运用自回归条件异方差模型具体分析了我国水产品市场的价格波动状况。研究发现:我国水产品市场价格具有比较明显的集簇性;我国水产品市场价格波动受到前期波动的影响更大,外部条件的冲击对我国的水产品市场价格波动影响有限,高风险高回报的特征在我国水产品市场并没有得到具体的体现;但是水产品市场价格的波动率却存在杠杆效应,出现利好消息时,水产品市场价格指数的波动率的波动会减小。
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| 关 键 词： | ARCH模型 价格波动 水产品 |
The price fluctuant characteristics research on China's aquatic products market |
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| Abstract: | Based on monthly time series data from October 2004 to December 2013, this article uses the autoregressive conditional heteroscedastic model to analyze the price fluctuations of aquatic products market in China. Researches find that: China's aquatic products market price has obvious cluster; Aquatic products market price fluctuations in China was affected by the earlier fluctuations more than the impact from external influences; Aquatic products market in China does not embody the characteristics of “higher risk, higher reward”, and aquatic products market price volatility exists leverage effect, when “good news” come, the volatility of market price of aquatic products will reduce. |
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| Keywords: | ARCH model price fluctuation aquatic products |
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