股票指数及其对市场指数的影响分析

P. Singh, Keyur Thaker
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引用次数: 0

摘要

本研究试图分析印度“孟买证券交易所”(BSE)的不同指数,在风险回报特征及其相关性和可预测性方面,以解决过去研究的相对忽视。进一步研究了BSE不同子指数对市场指数(BSE 30)波动率的影响。运用均值方差法和不同的绩效比率,分析了不同指标的风险收益特征和表现。运用ARIMA模型对不同时滞下的市场收益进行预测。进一步,我们用GARCH模型分析了不同指数对市场指数(BSE 30)的波动影响。结果表明,中等市值指数在风险和收益方面表现较好。我们发现其他指数对市场指数有显著的波动影响。不同指标的收益率之间存在显著的相关性,可以利用ARIMA模型进行预测,该模型具有一个周期的时滞。我们的研究为研究人员和投资者在印度股票指数表现的背景下提供了有趣的见解。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Analysis of Stock Indices and Their Impact on Market Index
This study attempts analyse the different indices of ‘Bombay Stock Exchange’ (BSE) of India, in terms of risk return characteristics and their relatedness and predictibility to address the relavite neglect of past studies. Further it investigates the volatility impact of different sub indices of BSE on market index (BSE 30). By applying the mean variance approach and different performance ratios the risk return characteristics and performance of different indices is analyzed. ARIMA modelling is performed to forecast the market return at varying time lag. Further we analyse the volatility impact of different indices on the market index (BSE 30) with GARCH Modelling. The results indicate that medium cap indices perform better in terms of risk and return. We find a significant volatility impact of other indices on market index. The return of different indices are significantly related and it can be forecasted with help of ARIMA Model with one period time lag. Our study provides interesting insights to researchers and investors alike in the context of performance of stock indices in India.
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