股市中行业联动效应的实证分析——基于CAPM的空间计量模型的应用

发布时间：2018-03-05 18:18

本文选题：联动效应　切入点：空间计量　出处：《经济经纬》2010年02期 　论文类型：期刊论文

【摘要】：本文基于CAPM模型,通过使用空间权重矩阵将同行业其他股票收益率的影响因素纳入了解释变量之中构建了一个收益率交互影响模型,并通过FF三因素模型从股票市场中找出公司规模和账面市值比的相关变量作为联动效应变量的工具变量,克服了联动效应变量的内生性问题。然后在此基础上分别对上证50、上证180、沪深300这三种股指所包含的股票样本进行了回归分析,证实了我国的证券市场中确实存在收益率之间的行业联动效应,并且联动反应系数大约为0.7到0.8之间。
[Abstract]:Based on CAPM model, this paper constructs an interactive model of return rate by using spatial weight matrix to incorporate the influencing factors of other stock returns in the same industry into the explanatory variables. Based on FF three-factor model, the paper finds out the relevant variables of company size and book market value ratio as the tool variables of linkage effect variables in the stock market. It overcomes the endogenous problem of the linkage effect variable. Then on this basis, the stock samples of Shanghai Stock Exchange 50, Shanghai Stock Exchange 180, Shanghai and Shenzhen 300 are analyzed by regression analysis. It is proved that there is an industry linkage effect between returns and the coefficient of linkage is about 0.7 to 0.8 in China's securities market.
【作者单位】：上海财经大学经济学院;
【分类号】：F832.51;F224

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