行业因素对我国股票市场收益率的影响研究

发布时间：2018-02-01 08:27

本文关键词： 行业因素股票收益率行业周期行业集中度　出处：《山西财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：从证券投资者的角度来说，行业正确的选择对股票市场收益率具有不可忽视的影响。对于一个价值投资者来说，一个行业的发展前景是选股的重要依据，通过分析行业发展周期、行业景气指数、行业集中度，投资者能够及时把握行业市场结构变化，提高投资收益。本文在前人研究的理论基础上，结合中国的实际以及股票市场的实际情况，，采用理论分析法、比较分析法以及实证研究法对影响股票收益率的行业因素进行分析。论文基于我国股票市场行业行业年收益率以及平均收益率，采用描述性统计分析以及比较分析，通过纵向和横向比较，分析总结我国股票市场收益率的行业分布特点。最后发现在各个经济周期都有表现比较好的行业。在经济萧条期，这一阶段表现比较好的行业有：采掘业也就是能源类、信息技术业、公用事业等；在经济复苏阶段表现好的行业有：农林牧渔业、金融业、房地产业、制造业、采掘业等；在经济繁荣时期可以选择的行业有：制造业、采掘业、房地产业、批发零售贸易业、社会服务业等；在经济衰退期这一阶段，表现好的行业有：农林牧渔业、通讯业、医药卫生业等。论文基于我国各行业2004年到2011数据，依据我国证监会对行业的划分标准，通过构建行业集中度、行业规模与股票收益率之间的经济模型，实证检验了我国股票市场确实存在着行业效应。研究表明行业规模对股票收益率的影响甚微，而行业集中度与股票收益率之间存在着负相关的关系，行业集中度越低，行业的竞争性就越大，从而行业就会通过创新来不断的提高自己的收益率。对投资者来说，除了个股的选择之外，行业的选择也至关重要。
[Abstract]:From the perspective of securities investors, the right choice of the industry has an important impact on the stock market yield. For a value investor, the development prospects of an industry is an important basis for stock selection. Through the analysis of industry development cycle, industry boom index, industry concentration, investors can grasp the changes of industry market structure in time and improve investment returns. Combined with the actual situation of China and the stock market, this paper analyzes the industry factors that affect the stock yield by theoretical analysis, comparative analysis and empirical research. Based on the annual rate of return and the average rate of return of the stock market industry in China, the paper adopts descriptive statistical analysis and comparative analysis, and compares them vertically and horizontally. This paper analyzes and summarizes the characteristics of industry distribution of stock market returns in China. Finally, it is found that there are industries with better performance in each economic cycle, and in the economic depression period. This stage of performance is relatively good industry: extractive industry, that is, energy, information technology industry, public utilities, and so on; In the stage of economic recovery, the industries that perform well are: agriculture, forestry, animal husbandry, fishery, finance, real estate, manufacturing, extractive industries and so on; The industries that can be chosen in the period of economic prosperity include manufacturing industry, extractive industry, real estate industry, wholesale and retail trade, social service industry and so on; In the period of recession, the industries with good performance include agriculture, forestry, animal husbandry, fishery, communication, medicine and health, etc. Based on the data from 2004 to 2011, and according to the standards of industry division of CSRC, this paper constructs an economic model between industry concentration, industry size and stock return. Empirical test of China's stock market does exist in the industry effect, research shows that industry size has little impact on stock returns, and there is a negative correlation between industry concentration and stock returns. The lower the industry concentration, the more competitive the industry will be, and the industry will continue to improve its rate of return through innovation. For investors, in addition to the choice of individual stocks, industry choice is also crucial.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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