股票收益率的行业效应分析  

An Empirical Study on Industry Effects of Stock Returns

作　　者：杨小燕[1] 王建稳[2] 

机构地区：[1]北方工业大学经济管理学院,北京100144 [2]北方工业大学理学院,北京100144

出　　处：《北方工业大学学报》2008年第3期75-78,83,共5页Journal of North China University of Technology

基　　金：北京市优秀人才培养资助项目(20051D0500207);北京市教育委员会科技发展计划面上项目(km200710009011)

摘　　要：主要对沪深两市上市公司股价行为周特征进行分行业统计研究.用Kruskal-Wallis H非参数统计方法检验股价周平均收益率的行业效应,并给出行业效应对股票收益率的影响.实证结果表明,不同行业的股票周平均收益率具有显著性的差异,采掘业对股票收益率的解释能力最强,为38.19%;金融、保险对股票收益率的解释能力最小,为11.6%.This paper conducts an empirical test on the industry effects of stock returns ot listed companies in Shanghai and Shenzhen, with Kruskal-Wallis One-way Analysis of Variance by ranks, and gives the influence of industry effects on stock returns. Results show that weekly average stock returns differ significantly for different sectors. The mining industry possesses the strongest explanation power for stock returns, which is 38.19%, while the weakest is with the finance and insurance sectors, which is 11.16%.

关 键 词：股票收益率 行业因素 Kruskal-Wallis H检验 资本资产定价模型 

分 类 号：F224.0[经济管理—国民经济]