双因子模型的行业板块指数波动性研究——基于中国上市公司2006-2008年的实证数据  

A Study of Volatility of Industry Sector Indexes with Double-factor Model: Based on Empirical Data from Listed Companies in China between 2006 and 2008

作　　者：方先明[1] 裴平[1] 柏建晖[1] 

机构地区：[1]南京大学商学院,江苏南京210093

出　　处：《当代财经》2009年第6期46-52,共7页Contemporary Finance and Economics

基　　金：教育部哲学社会科学创新基地“南京大学经济转型和发展研究中心”资助课题“对外开放与中国经济转型及发展研究”;国家社会科学基金项目(04BJL027)

摘　　要：利率和汇率水平变化是导致一国股票市场资金供应量变化的两个主要因素。然而,行业板块指数对利率和汇率水平变化的敏感性如何?通过构建双因子理论分析模型,并对2006年10月8日至2008年4月8日中国股票市场行业板块指数波动性进行的实证研究结果表明,不同行业板块指数对利率和汇率变化的反应存在不同程度的"超调"或"惯性"现象,而且各自的反应速度也有明显差异。行业板块指数波动对利率和汇率变化的反应特征表明,要实现中国股票市场的长期整体有效,就必须提高各行业板块的有效性。Changes in interest rate and exchange rate are the two main factors in causing the fluctuation of the monetary supply in the stock market of one country. In order to analyze the sensitivities of industry sector indexes to the changes of the interest rate and exchange rate, this paper constructs a double-factor model and carries out an empirical analysis of the volatility of industry sector indexes in China＇s stock markets between Oct 8, 2006 and Apr 8, 2008. The results show that different industry sector indexes react differently to the changes in interest rate and exchange rate, both in extent and speed. Further more, there are overreaction and inertia in the sensitivity of industry sector indexes. It can be seen that in order to realize the long time and overall efficiency of China＇s stock market, the efficiency of different industry sector should be improved first.

关 键 词：双因子模型 行业板块指数 波动性 

分 类 号：F830.91[经济管理—金融学]