Title :
Study on the fluctuation characteristics of the yield rate of stocks of Chinese listed companies in the agricultural sector
Author :
Xin Hou ; Pengjun Dai
Author_Institution :
Coll. of Econ. Manage., Shenyang Agric. Univ., Shenyang, China
Abstract :
This paper studied the fluctuation characteristics of the yield rate of stocks of Chinese listed companies in the agricultural sector through empirical analysis. 36 listed agricultural industrialization companies in the main board market of Shanghai Stock Exchange are taken as samples for data collection, and descriptive statistics, modeling and ARCH test method are applied to describe the fluctuation characteristics of the yield rate of stocks of the listed companies in the agricultural sector. Finally, it is found that the yield rate of stocks of listed agricultural companies is characterized by sharp peak and fat tail in the yield curve, heteroscedasticity, continuity in fluctuation, asymmetry, as well as ARCH effect.
Keywords :
agriculture; industrial economics; stock markets; ARCH effect; ARCH test method; Chinese listed companies; Shanghai stock exchange; agricultural industrialization companies; agricultural sector; empirical analysis; fat tail; fluctuation characteristics; fluctuation continuity; heteroscedasticity; listed agricultural companies; main board market; sharp peak; stock yield rate; yield curve; Agriculture; Companies; Correlation; Fluctuations; Indexes; Mathematical model; Stock markets; ARCH model; fluctuation; listed agricultural companies; yield rate of stocks;
Conference_Titel :
Information Management, Innovation Management and Industrial Engineering (ICIII), 2013 6th International Conference on
Conference_Location :
Xi´an
Print_ISBN :
978-1-4799-3985-5
DOI :
10.1109/ICIII.2013.6703007
