上市公司“五性”间的波动溢出效应研究——基于面板及BEKK-GARCH模型的分析

Research on the Fluctuation Spillover Effect of “Five Sex” in Listed Companies—Based on Panel and BEKK-GARCH Model Analysis

摘要: 我国提出的供给侧结构性改革转变了经济发展形式，改变了企业生产管理模式，因此在供给侧改革背景下把握影响上市公司收益的关键特性以及之间波动溢出效应的动态变化具有重要意义。基于我国煤炭行业18家主要上市公司2004~2018年财务指标，通过构建面板回归模型，从成长性、流动性、安全性和生产性识别影响收益的关键因素，并针对收益前10的企业建立BEKK-GARCH模型，挖掘其关键特性的波动溢出效应的动态变化。结果表明：(1) 影响收益性的关键因素是生产性；(2) 公司之间生产性波动溢出效应表现出集聚性，这些变化与改革政策相关；(3) 大型综合性煤炭公司，比如神华能源，更能在改革过程中抓住获得收益的关键点，其生产经营方式对其他公司具有指导借鉴意义。基于研究结论，本文认为企业应从生产性把握企业未来发展战略。

Abstract: The supply-side structural reform proposed by China has transformed the form of economic de-velopment and changed the mode of production management. Therefore, it is of great significance to grasp the key characteristics of the listed company’s earnings and the dynamic changes of the volatility spillover effect in the context of supply-side reform. Based on the financial indicators of 18 major listed companies in China’s coal industry in 2004-2018, by constructing a panel regression model, the key factors affecting the growth of growth, liquidity, safety and productivity are identified, and the BEKK-GARCH model is built to exploit the profitability. The top 10 companies have dynamic changes in volatility spillovers in key characteristics. The results show that: (1) the key factor affecting profitability is productivity; (2) the productive volatility spillover effect in companies shows agglomeration, and these changes are related to reform policies; (3) large com-prehensive coal companies, such as Shenhua Energy can better grasp the key points of gains in the reform process, and its production and operation methods have guiding significance for other companies. Based on the research conclusions, this paper believes that enterprises should grasp the future development strategy of enterprises from the perspective of productivity.