宏观经济消息对能源公司股票收益的影响——来自中国的证据

IF 5.5 Q1 BUSINESS, FINANCE

Green Finance Pub Date : 2019-09-20 DOI:10.3934/gf.2019.3.297

Yaya Su, Gaoke Liao

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引用次数: 6

摘要

本文确定了能源企业股票收益的变化点，并考察了宏观经济新闻对能源企业股票回报的影响。我们的分析使用了2008年1月至2018年12月中国A股上市的能源公司。首先，我们使用高维时间序列因子模型来提取能源公司股票回报常见成分的大部分结构变化。然后，基于这些变化点，我们使用TVP-VAR方法来探索不同时期能源企业宏观经济新闻与股票收益共同成分之间的复杂关系。研究结果表明，能源企业股票收益的共同成分有三个变化点，而特殊成分没有变化点。此外，在不同时期，宏观经济新闻对能源公司的股票回报率有不同的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The impact of macroeconomic news on stock returns of energy firms—evidence from China

This paper identifies the change point of stock returns of energy firms, and examines the impact of macroeconomic news on stock returns of energy firms. Our analysis used China’s A-share listed energy firms from January 2008 to December 2018. First, we use high-dimensional time series factor models to pick up most of the structural changes in the common components of stock returns of energy firms. And then based on the change-points, we use the TVP-VAR method to explore the complex relationship between the macroeconomic news and the common component of stock returns of energy firms in different periods. The results show that there are three change points in the common components of stock returns of energy firms, but the idiosyncratic components don’t have change points. What’s more, for different periods, macroeconomic news has a heterogeneous impact on stock returns of energy firms.

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来源期刊

Green Finance Multiple-

CiteScore

9.60

自引率

3.50%

发文量

审稿时长

6 weeks

期刊介绍： Green Finance is an international, interdisciplinary Open Access journal dedicated to green finance, environmental, and sustainability research and practice. It offers a platform for publishing original contributions and technical reviews on green finance and related topics, following a rigorous peer-review process. Accepted article types include original research, reviews, editorials, letters, and conference reports.