我國股票市場板塊效應(yīng)實證研究
發(fā)布時間：2018-11-19 22:15
【摘要】：在一定的時期內(nèi),某一板塊內(nèi)的股票出現(xiàn)了齊漲齊跌的現(xiàn)象,稱之為“板塊效應(yīng)”。隨著我國證券市場的不斷完善、發(fā)展和股票種類的增加,各類股票板塊的劃分越來越明顯,“板塊效應(yīng)”日益凸顯,從而使投資者根據(jù)各股票板塊的變化規(guī)律來決定投資決策變得越來越具有可行性和收益性。 本文研究的目的是通過建立金融計量模型來識別我國股票市場的板塊效應(yīng),選取的研究樣本是銀行業(yè)板塊,同時選取上證綜合指數(shù)作為市場組合。不合理的度量方法會導(dǎo)致表面上的“異�！爆F(xiàn)象,所以對市場有效性及“異�！爆F(xiàn)象的度量需要與預(yù)測“預(yù)期正常收益”的模型一起來檢驗,以避免“不良”模型。因此我們先對銀行組合的日對數(shù)收益率和上證綜合指數(shù)的日對數(shù)收益率做散點圖,由散點圖看出它們之間的線性關(guān)系,我們選定一元線性回歸模型作為理論模型。由t檢驗統(tǒng)計量知回歸方程通過了顯著性檢驗,因此,此一元線性回歸模型是有統(tǒng)計學(xué)意義的。利用銀行組合日對數(shù)收益率對市場日對數(shù)收益率進行回歸分析,用經(jīng)驗回歸方程來預(yù)測“預(yù)期正常收益”,由實際值與預(yù)期正常收益的差值計算出銀行組合的超額收益率。用U檢驗法我們得知,銀行組合的預(yù)測正常日對數(shù)收益率服從正態(tài)分布,它的標(biāo)準(zhǔn)差記為δ,因此實際值和預(yù)測值的差值(即超額收益率)大于δ時,才是出現(xiàn)“異�！爆F(xiàn)象,即出現(xiàn)了板塊效應(yīng)。 其次在板塊效應(yīng)存在的基礎(chǔ)上,引入相對對數(shù)收益率來度量板塊效應(yīng)的強弱,當(dāng)天超額收益率的絕對值與銀行組合相對對數(shù)收益率標(biāo)準(zhǔn)差的比值,即為板塊效應(yīng)的強度。 實證結(jié)果表明：在選取的樣本中,股票分別在2010年12月13日、12月15日、12月21日、12月23日、12月24日、12月28日、12月31日、1月7日、1月11日、1月25日、27日、28日、31日、2月16日出現(xiàn)了板塊效應(yīng),且分別在2010年12月23日、24日和2011年1月27日、28日、31日持續(xù)出現(xiàn)板塊效應(yīng)。 板塊效應(yīng)的強度依次為1.73、1.12、1.198、2.13、1.85、1.17、1.398、3.32、1.46、1.43、1.14、1.36、1.17、1.02。因此在定性分析和實證的基礎(chǔ)上,通過對數(shù)據(jù)的分析建立起的相應(yīng)的市場模型對板塊效應(yīng)進行實證研究,可使投資者根據(jù)各股票板塊的變化規(guī)律來決定投資決策,以提高股市的回報率。
[Abstract]:In a certain period of time, the stock in a certain plate appeared the phenomenon of rising and falling, called "plate effect". With the continuous improvement of China's securities market, the development and the increase of stock types, the division of all kinds of stock plates is becoming more and more obvious, and the "plate effect" is becoming increasingly prominent. Therefore, it is more and more feasible and profitable for investors to decide the investment decision according to the changing law of each stock plate. The purpose of this paper is to establish a financial measurement model to identify the plate effect in China's stock market. The sample is the banking sector and the Shanghai Composite Index is chosen as the market combination. Unreasonable measurement method will lead to the appearance of "abnormal" phenomenon, so the measurement of market efficiency and "abnormal" phenomenon should be tested together with the model of "expected normal return" to avoid the "bad" model. So we first make scattered plot of the daily logarithmic rate of return of bank portfolio and the daily logarithmic rate of return of Shanghai Composite Index. We choose the linear regression model of one variable as the theoretical model from the scattered plot to see the linear relationship between them. The statistical regression equation of t test has passed the significance test, so the linear regression model is statistically significant. By using the daily logarithmic return of bank portfolio, the market daily logarithmic rate of return is regressed, and the expected normal return is predicted by empirical regression equation. The excess return rate of bank portfolio is calculated from the difference between the actual value and the expected normal return. Using the U test, we know that the normal daily logarithmic return rate of the bank portfolio is normal distribution, and its standard deviation is 未. Therefore, when the difference between the actual value and the predicted value (that is, the excess return rate) is greater than 未, the phenomenon of "abnormal" will occur only when the difference between the actual value and the predicted value is greater than 未. There is a plate effect. Secondly, based on the existence of plate effect, the relative logarithmic rate of return is introduced to measure the strength of plate effect. The ratio of absolute value of excess yield to the standard deviation of relative logarithmic return rate of bank portfolio is the intensity of plate effect. The empirical results show that in the selected samples, the stocks are on December 13, December 15, December 21, December 23, December 24, December 28, December 31, January 7, January 11, January 25, and January 27, respectively. The plate effect appeared on December 28, 31 and February 16, and continued on December 23, 24, and January 27, 28, 31, 2011, respectively. The intensity of plate effect is 1.73 / 1.12 / 1.198 / 2.131.85 / 1.17 / 1.398'3.32'/ 1.46/ 1.43 / 1.14 / 1.36 / 1.171.17 / 1.02. Therefore, on the basis of qualitative analysis and empirical analysis, through the corresponding market model established by the analysis of the data, the empirical research on the plate effect can make investors decide the investment decision according to the changing law of each stock plate. In order to improve the return on the stock market.
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;O212.1
本文編號：2343591
[Abstract]:In a certain period of time, the stock in a certain plate appeared the phenomenon of rising and falling, called "plate effect". With the continuous improvement of China's securities market, the development and the increase of stock types, the division of all kinds of stock plates is becoming more and more obvious, and the "plate effect" is becoming increasingly prominent. Therefore, it is more and more feasible and profitable for investors to decide the investment decision according to the changing law of each stock plate. The purpose of this paper is to establish a financial measurement model to identify the plate effect in China's stock market. The sample is the banking sector and the Shanghai Composite Index is chosen as the market combination. Unreasonable measurement method will lead to the appearance of "abnormal" phenomenon, so the measurement of market efficiency and "abnormal" phenomenon should be tested together with the model of "expected normal return" to avoid the "bad" model. So we first make scattered plot of the daily logarithmic rate of return of bank portfolio and the daily logarithmic rate of return of Shanghai Composite Index. We choose the linear regression model of one variable as the theoretical model from the scattered plot to see the linear relationship between them. The statistical regression equation of t test has passed the significance test, so the linear regression model is statistically significant. By using the daily logarithmic return of bank portfolio, the market daily logarithmic rate of return is regressed, and the expected normal return is predicted by empirical regression equation. The excess return rate of bank portfolio is calculated from the difference between the actual value and the expected normal return. Using the U test, we know that the normal daily logarithmic return rate of the bank portfolio is normal distribution, and its standard deviation is 未. Therefore, when the difference between the actual value and the predicted value (that is, the excess return rate) is greater than 未, the phenomenon of "abnormal" will occur only when the difference between the actual value and the predicted value is greater than 未. There is a plate effect. Secondly, based on the existence of plate effect, the relative logarithmic rate of return is introduced to measure the strength of plate effect. The ratio of absolute value of excess yield to the standard deviation of relative logarithmic return rate of bank portfolio is the intensity of plate effect. The empirical results show that in the selected samples, the stocks are on December 13, December 15, December 21, December 23, December 24, December 28, December 31, January 7, January 11, January 25, and January 27, respectively. The plate effect appeared on December 28, 31 and February 16, and continued on December 23, 24, and January 27, 28, 31, 2011, respectively. The intensity of plate effect is 1.73 / 1.12 / 1.198 / 2.131.85 / 1.17 / 1.398'3.32'/ 1.46/ 1.43 / 1.14 / 1.36 / 1.171.17 / 1.02. Therefore, on the basis of qualitative analysis and empirical analysis, through the corresponding market model established by the analysis of the data, the empirical research on the plate effect can make investors decide the investment decision according to the changing law of each stock plate. In order to improve the return on the stock market.
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;O212.1
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