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本文以我国A股市场为对象,基于CAPM和APT理论,建立单变量和多变量回归分析模型,探讨市场、行业和地区信息对证券价格的影响及其程度大小。结果表明:在我国证券市场中,一方面个股价格变化同时存在显著的行业和地区联动效应,但行业效应更强,行业信息主导着证券价格的变化。在控制了市场和地区信息后,行业信息仍具有信息增量提供能力。另一方面,行业信息与地区信息有互补性,市场信息可被行业和地区信息替代。另外,市场竞争越激烈的行业,行业联动效应越强。当企业变更行业类型时,新旧行业对股票价格变化的影响存在显著的差异。究其原因,与行业内的公司基本面之间所存在的显著正相关性相关。
Based on the theory of CAPM and APT, this paper sets up the univariate and multivariate regression analysis models for the A-share market in China, and explores the influence of market, industry and regional information on the price of securities and the extent of the changes. The results show that in the stock market of our country, there exist significant industry and regional linkage effects on the one hand, but the industry effect is stronger and the industry information dominates the change of the stock price. After controlling for market and regional information, industry information still has the capacity to provide incremental information. On the other hand, industry information and regional information are complementary and market information can be replaced by industry and regional information. In addition, the more intense market competition in the industry, the stronger the effect of industry linkage. When enterprises change the types of industries, there is a significant difference between the new and old industries on the changes of stock prices. The reason is related to the significant positive correlation existing between the company fundamentals in the industry.