Forecast On The Stock Price Return Of Agricultural Bank Of China

Based on the theory of efficient market hypothesis,technical analysis has value when the stock market is a non-effective market.Currently,related studies have shown that China's stock market is in a non-effective market.In this non-effective market,investors have many irrational investment behaviors in actual investment,lacking of some effective theoretical support.Therefore,in order to enable investors of bank stock to more deeply understand the linkage effect,spillover effect,and leverage effect between bank stocks and banking sector,and how to affect the stock price return of bank stocks,rational investment decisions are made.This article analyzes the three major effects of bank stocks and bank indexes and forecasts the stock price return of bank stocks in order to provide investors with reasonable investment advices and at the same time provide market regulators with the direction of supervision.Based on the characteristics of China's stock market,it can be found that the share price of the Agricultural Bank of China and the bank index are highly consistent.Therefore,choosing the Agricultural Bank of China as a representative of bank stocks can relatively easily find that the three major effects between bank stocks and bank index have an impact on stock price return of bank stocks.The EGARCH model can well describe these three major effects.This paper mainly uses the logarithmic return rate of the daily closing price of the ABC's stock price as the research object.Firstly,we set the logarithmic return rate of the bank index for the same period and lagging period as an interpretable variable in the model to examine the overall bank background of its stock price.Secondly,we chose the ABC's stock returns as exogenous variables to control the impact of ABC's stock itself;in addition,in order to measure the condition heteroscedasticity of data,this paper adopts the EGARCH model to conduct empirical tests of the linkage,spillover and leverage effects between the Agricultural Bank of China and the bank index from June 1,2014 to June 30,2017.Through the estimation and empirical analysis of the parameters of each variable in the EGARCH model,the following conclusions are drawn:(1)After the test of heteroskedasticity,the stock return of ABC and the banking sector have a GARCH effect,and both of which are clustered.(2)The study finds that the leverage coefficients in all the models established in this paper are significantly greater than zero,indicating that there is obvious information asymmetry in the fluctuation of between the ABC's stock price and the banking index,which differs from the leverage effect(The interference of negative news on price is obviously greater than the interference of positive news on price)generally found in the stock market.(3)The results of modeling show that the bank index has a significant linkage effect on the impact of the agricultural bank's yield,that is,the bank index has a positive impact on the Agricultural Bank's share price.(4)The parameter estimation of the model show that the volatility of ABC's stock price and the bank index exists a high degree of continuity.That is,when the stock price is subject to abnormal fluctuations due to other disturbances,it is usually difficult to suppress such fluctuations in a relatively short period of time.The volatility spillover effect is obvious.Comparing the gap between stock returns predicted by the EGARCH model and real stock returns,we can find that the gap is very small,which shows that using EGARCH model to conduct empirical tests is robust.