【摘要】：股市中經(jīng)常出現(xiàn)股價同漲共跌現(xiàn)象,直觀上股價聯(lián)動現(xiàn)象非常顯著,而這種直觀感在投資者中形成共識,成為在投資操作實踐中研判投資機會的手段。因此,研究我國股票市場中行業(yè)內各股價格聯(lián)動效應具有重要意義。本文基于近似因子模型研究我國股市各行業(yè)股票價格的聯(lián)動效應問題。借助由近似因子模型獲得的累積貢獻率及共同度指標來評價各行業(yè)內部股票收益率的聯(lián)動程度并測度個股與行業(yè)之間的同步性。將提取的公因子進行因子旋轉,依據(jù)行業(yè)內股票與旋轉后的公因子的相關程度高低對行業(yè)內各股進行分類。選取上海證券交易所A股上市公司8個行業(yè),即制造業(yè),電力、熱力、燃氣及水的供應業(yè),房地產業(yè),交通運輸、倉儲及郵政業(yè),批發(fā)和零售業(yè),金融業(yè),建筑業(yè),信息傳輸、軟件和信息技術服務業(yè),對2012年3月至2016年6月的月度收益率數(shù)據(jù)進行實證分析。研究表明,我國股票市場各行業(yè)內部聯(lián)動性較強,其中金融業(yè)聯(lián)動程度最高,其次是信息傳輸行業(yè)、建筑業(yè)與交通運輸業(yè),電力、批發(fā)零售業(yè)、制造業(yè)與房地產業(yè)的行業(yè)內部聯(lián)動程度均低于80%,尤其房地產業(yè)的聯(lián)動程度最低。金融業(yè)、建筑業(yè)、信息傳輸和交通業(yè)聯(lián)動程度較強的行業(yè)在股市出現(xiàn)行情時,聯(lián)動效應不會減弱,而聯(lián)動性較弱的批發(fā)零售業(yè)、房地產、電力及制造業(yè)聯(lián)動程度明顯降低。在各行業(yè)股票同步性分布分析中,金融業(yè)相較于其他行業(yè)分布相對集中,房地產分布相對分散。針對各行業(yè)高同步性及低同步性股票本文給出它們在牛熊市時的投資策略。由旋轉后公因子與行業(yè)各股的相關程度對各行業(yè)股票進行分類,進一步研究行業(yè)內股票的聯(lián)動性,發(fā)現(xiàn)相較于其他行業(yè)金融業(yè)具有同時受兩種因素影響的股票較多,股票分類較少的特點。最后基于股票相關評價指標,給出不同行情下相關投資建議,以期為投資者理性投資及股市監(jiān)管部門處理市場融資功能、監(jiān)管機制等相關問題提供理論依據(jù)。
[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.
【學位授予單位】：北方工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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