摘要
采用时差相关分析和PageRank方法,对A股市场21只煤炭行业相关股票进行了收益率的领先滞后关系研究,进而对个股的领先强度进行了打分评价.基于2011年金融市场的相关数据,揭示了煤炭行业相关股票收益率波动的非同步性.对收益率波动的传导路径进行了分层,将所得结果和2011年各企业经营状况进行了对比.结果表明:规模较大且经营状况良好的煤炭企业,其股票收益率往往有更好的先行性;PageRank方法得到的打分结果和公司规模以及经营状况均存在显著的正相关关系.
This paper applies time-difference correlation analysis and PageRank to seek the leadlag relationship of stock yield for 21 coal enterprises in A-share market, and the study also evaluates the frontier intensity of individual share. Based on the relevant data of financial market in 2011, this research discovers the asynchronism of fluctuation of relevant stock yields in coal enterprises, and stratifies the transduction pathway of yield fluctuation. Finally, comparing the results of this study and 2011 obtains the following conclusions, the large-scale and wellmanaged coal enterprises pioneer in the stock yield there is a significant positive correlation among company scale and the state of operation and the score given by PageRank method.
出处
《中国矿业大学学报》
EI
CAS
CSCD
北大核心
2013年第1期157-160,共4页
Journal of China University of Mining & Technology
