内蒙古上市公司股价波动性研究

本文利用谱聚类方法、ARCH族模型、Granger因果检验和Johansen协整检验对近两次金融危机期间内蒙古上市公司股价的波动性进行实证分析.实证结果表明欧债危机对内蒙古上市公司股价波动的影响大于次贷危机的影响,而且受影响的上市公司主要集中在能源、矿产资源以及机械制造等行业.由于内蒙古自治区上市公司数量少和行业比较集中等原因,以上结果不能全面反映金融危机对内蒙古自治区整个宏观经济的影响.

Analysis of Stock Price Fluctuation of the Listed Companies in Inner Mongolia

In this paper common spectral clustering, ARCH family models, Granger causality test and Johansen cointegration test are used to analyze stock price fluctuation of the companies in Inner Mongolia during two financial crisis occur recently. Empirical research shows that impact of the European sovereign debt crisis is larger than im- pact of the American subprime crisis. The impacted companies are concentrated on energy, mineral resources and machinery manufacture. Because listed companies of Inner Mongolia are few and concentrated on a few industries, so the conclusions mentioned about could not reflect impact of financial crisis to Inner Mongolian economic.