经济短周期背景下股价波动的行业效应研究

发布时间：2018-04-06 21:24

本文选题：经济短周期　切入点：行业效应　出处：《证券市场导报》2014年01期

【摘要】：本文从经济增长和通货膨胀两个维度,对中国的经济短期周期进行划分,经过定性和定量分析,选取宏观经济景气一致指数和CPI的年度累计同比增长率作为划分依据。通过对过去15年来复苏、繁荣、滞涨、衰退四个阶段内中国资本市场股价指数收益量化分析,梳理出每个阶段表现突出、能获取明显超额收益的代表性行业。实证分析显示,金融、地产、食品饮料行业为跨越周期的代表性行业;医药生物、商品贸易等为中后周期的代表性行业;交运设备、建筑建材等为中早周期的代表性行业。研究表明,中国资本市场全行业的基本面波动与经济周期波动基本趋同,而分行业的波动则体现出明显的差异,并进一步分析了行业效应的产生原因,包括经济运行特征和发展所处阶段以及产业链传导机制的影响。
[Abstract]:This paper classifies the short-term economic cycle of China from the two dimensions of economic growth and inflation. Through qualitative and quantitative analysis, the author selects the consensus index of macroeconomic prosperity and the annual cumulative annual growth rate of CPI as the basis of the division.Based on the quantitative analysis of the stock price returns of China's capital market in the past 15 years, such as recovery, prosperity, stagflation and recession, the typical industries with outstanding performance in each stage are sorted out, which can obtain obvious excess returns.The empirical analysis shows that finance, real estate, food and beverage industries are representative industries spanning cycles; pharmaceutical biology and commodity trade are representative industries of middle and later cycles; and transportation equipment and building materials are representative industries of middle and early cycle.The study shows that the fundamental fluctuation of the whole industry of China's capital market is basically similar to the fluctuation of the economic cycle, while the fluctuation of the different industries reflects the obvious differences, and the reasons for the industry effect are further analyzed.Including the characteristics of economic operation and the stage of development as well as the impact of industrial chain transmission mechanism.
【作者单位】：上海社会科学院;
【分类号】：F830.9

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