發(fā)布時(shí)間：2018-03-05 18:18

  本文選題：聯(lián)動(dòng)效應(yīng)　切入點(diǎn)：空間計(jì)量　出處：《經(jīng)濟(jì)經(jīng)緯》2010年02期 　論文類(lèi)型：期刊論文

【摘要】：本文基于CAPM模型,通過(guò)使用空間權(quán)重矩陣將同行業(yè)其他股票收益率的影響因素納入了解釋變量之中構(gòu)建了一個(gè)收益率交互影響模型,并通過(guò)FF三因素模型從股票市場(chǎng)中找出公司規(guī)模和賬面市值比的相關(guān)變量作為聯(lián)動(dòng)效應(yīng)變量的工具變量,克服了聯(lián)動(dòng)效應(yīng)變量的內(nèi)生性問(wèn)題。然后在此基礎(chǔ)上分別對(duì)上證50、上證180、滬深300這三種股指所包含的股票樣本進(jìn)行了回歸分析,證實(shí)了我國(guó)的證券市場(chǎng)中確實(shí)存在收益率之間的行業(yè)聯(lián)動(dòng)效應(yīng),并且聯(lián)動(dòng)反應(yīng)系數(shù)大約為0.7到0.8之間。
[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.
【作者單位】： 上海財(cái)經(jīng)大學(xué)經(jīng)濟(jì)學(xué)院;
【分類(lèi)號(hào)】：F832.51;F224

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