The Statistical Analysis On Stock Market Of The Chinese Military Industry Board

With the increasing importance of national defense security,China attaches more importance to the construction of military industry and proposes a series of reform and development policies,which makes the Chinese military industry develop rapidly.Accordingly,the military industry board becomes a hot issue of stock market.Based on this background,this paper performs the statistical analysis on stock market of the Chinese military industry board so that the investors can have a deeper understanding of the military industry board.Firstly,this study focuses on the daily closing price of the CSI Military Industry Index from April 4,2014 to December 31,2020,to obtain the return series.After performing the stationary test,autocorrelation test,and variance ratio test,we can draw a conclusion that the military industry stock market in our country is not weak-form efficient.Next,this study analyzes the market volatility of the military industry stock market.By fitting the ARMA model and combining with BDS test,it is found that the return rate series has a nonlinear correlation.Then,ARCH effect test is performed,and the test results are combined with the variance ratio test results to infer that the return series has an ARCH effect.Thereby,we establish the AR(1)-GARCH(1,1)model to fit the volatility of the military industry stock market.Secondly,12 financial indicators of 51 constituent stocks of the CSI Military Industry Index are selected for factor analysis,from which 5 common factors that can comprehensively reflect the development status of the company are extracted,and the factor scores and rankings are obtained.In addition,clustering analysis is performed based on factor scores,and 51 companies are divided into four categories to discuss their investment value for investors'reference.Finally,this study analyzes the correlation between the military industry stock market and the Shanghai and Shenzhen stock market.Through the correlation analysis of the return series of CSI Military Industrial Index and the return series of CSI 300 Index,we know that the two markets are correlated.Then a regression model is established to determine the quantitative relationship between the two series.According to the significance test results of the coefficients,it can be judged that the relationship between the Shanghai and Shenzhen stock markets and the military industry stock markets conforms to CAPM theory,and the estimated value of the coefficient ? is 1.01140,indicating that the military industry stock market is in an expanding state relative to the Shanghai and Shenzhen stock markets.