我国股票市场行业内各股价格联动效应分析
发布时间：2018-07-26 17:48
【摘要】：股市中经常出现股价同涨共跌现象,直观上股价联动现象非常显著,而这种直观感在投资者中形成共识,成为在投资操作实践中研判投资机会的手段。因此,研究我国股票市场中行业内各股价格联动效应具有重要意义。本文基于近似因子模型研究我国股市各行业股票价格的联动效应问题。借助由近似因子模型获得的累积贡献率及共同度指标来评价各行业内部股票收益率的联动程度并测度个股与行业之间的同步性。将提取的公因子进行因子旋转,依据行业内股票与旋转后的公因子的相关程度高低对行业内各股进行分类。选取上海证券交易所A股上市公司8个行业,即制造业,电力、热力、燃气及水的供应业,房地产业,交通运输、仓储及邮政业,批发和零售业,金融业,建筑业,信息传输、软件和信息技术服务业,对2012年3月至2016年6月的月度收益率数据进行实证分析。研究表明,我国股票市场各行业内部联动性较强,其中金融业联动程度最高,其次是信息传输行业、建筑业与交通运输业,电力、批发零售业、制造业与房地产业的行业内部联动程度均低于80%,尤其房地产业的联动程度最低。金融业、建筑业、信息传输和交通业联动程度较强的行业在股市出现行情时,联动效应不会减弱,而联动性较弱的批发零售业、房地产、电力及制造业联动程度明显降低。在各行业股票同步性分布分析中,金融业相较于其他行业分布相对集中,房地产分布相对分散。针对各行业高同步性及低同步性股票本文给出它们在牛熊市时的投资策略。由旋转后公因子与行业各股的相关程度对各行业股票进行分类,进一步研究行业内股票的联动性,发现相较于其他行业金融业具有同时受两种因素影响的股票较多,股票分类较少的特点。最后基于股票相关评价指标,给出不同行情下相关投资建议,以期为投资者理性投资及股市监管部门处理市场融资功能、监管机制等相关问题提供理论依据。
[Abstract]:The phenomenon of stock price rising and falling is often seen in the stock market. The phenomenon of stock price linkage is obvious intuitively, and this intuitionistic sense forms a common understanding among investors and becomes a means to study investment opportunities in investment operation practice. Therefore, it is of great significance to study the stock price linkage effect in China's stock market. Based on the approximate factor model, this paper studies the linkage effect of stock price in various sectors of Chinese stock market. By using the index of cumulative contribution rate and common degree obtained from approximate factor model, the paper evaluates the linkage degree of stock return and measures the synchronism between individual stock and industry. The extracted common factors are rotated and the stocks in the industry are classified according to the degree of correlation between the stocks in the industry and the public factors after rotation. Shanghai Stock Exchange A share listed companies in 8 industries, namely manufacturing, electricity, heat, gas and water supply industry, real estate, transportation, storage and postal industry, wholesale and retail, finance, construction, information transmission, Software and information technology services, an empirical analysis of monthly yield data from March 2012 to June 2016. The results show that there is a strong internal linkage in the stock market in China, among which the financial industry is the highest, followed by the information transmission industry, construction and transportation, electricity, wholesale and retail, The degree of internal linkage between manufacturing and real estate is lower than that of 80, especially in real estate. Industries with strong links in finance, construction, information transmission and transportation will not weaken when the stock market appears, while weak links between wholesale and retail, real estate, electricity and manufacturing are significantly reduced. In the analysis of synchronous distribution of stocks in various industries, the distribution of financial industry is relatively concentrated, and the distribution of real estate is relatively dispersed. In this paper, the investment strategies of high synchronism and low synchronism stocks in bull bear market are given. According to the degree of correlation between the public factors after rotation and the relative degree of each share in the industry, the paper classifies the stocks in each industry, and further studies the linkage of the stocks in the industry. It is found that compared with other industries, the financial industry has more stocks affected by the two factors at the same time. The characteristic of less classification of stocks. Finally, based on the stock related evaluation index, the paper gives the relevant investment suggestions under different prices, in order to provide the theoretical basis for investors' rational investment and the stock market supervision department to deal with the market financing function, supervision mechanism and other related issues.
【学位授予单位】：北方工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
本文编号：2146796
[Abstract]:The phenomenon of stock price rising and falling is often seen in the stock market. The phenomenon of stock price linkage is obvious intuitively, and this intuitionistic sense forms a common understanding among investors and becomes a means to study investment opportunities in investment operation practice. Therefore, it is of great significance to study the stock price linkage effect in China's stock market. Based on the approximate factor model, this paper studies the linkage effect of stock price in various sectors of Chinese stock market. By using the index of cumulative contribution rate and common degree obtained from approximate factor model, the paper evaluates the linkage degree of stock return and measures the synchronism between individual stock and industry. The extracted common factors are rotated and the stocks in the industry are classified according to the degree of correlation between the stocks in the industry and the public factors after rotation. Shanghai Stock Exchange A share listed companies in 8 industries, namely manufacturing, electricity, heat, gas and water supply industry, real estate, transportation, storage and postal industry, wholesale and retail, finance, construction, information transmission, Software and information technology services, an empirical analysis of monthly yield data from March 2012 to June 2016. The results show that there is a strong internal linkage in the stock market in China, among which the financial industry is the highest, followed by the information transmission industry, construction and transportation, electricity, wholesale and retail, The degree of internal linkage between manufacturing and real estate is lower than that of 80, especially in real estate. Industries with strong links in finance, construction, information transmission and transportation will not weaken when the stock market appears, while weak links between wholesale and retail, real estate, electricity and manufacturing are significantly reduced. In the analysis of synchronous distribution of stocks in various industries, the distribution of financial industry is relatively concentrated, and the distribution of real estate is relatively dispersed. In this paper, the investment strategies of high synchronism and low synchronism stocks in bull bear market are given. According to the degree of correlation between the public factors after rotation and the relative degree of each share in the industry, the paper classifies the stocks in each industry, and further studies the linkage of the stocks in the industry. It is found that compared with other industries, the financial industry has more stocks affected by the two factors at the same time. The characteristic of less classification of stocks. Finally, based on the stock related evaluation index, the paper gives the relevant investment suggestions under different prices, in order to provide the theoretical basis for investors' rational investment and the stock market supervision department to deal with the market financing function, supervision mechanism and other related issues.
【学位授予单位】：北方工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
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