行业、地区和市场信息,谁主导中国证券市场价格的变化  

Industry,Local and Market Information,Who Dominates Price Movement in Chinese Stock Market?

作　　者：朱宏泉[1] 陈林[1] 潘宁宁[1] 

机构地区：[1]西南交通大学经济管理学院,四川成都610031

出　　处：《中国管理科学》2011年第4期1-8,共8页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(70971110);教育部2008年<长江学者和创新团队发展计划>(IRT0860);教育部人文社科规划基金(09YJA790169)

摘　　要：本文以我国A股市场为对象,基于CAPM和APT理论,建立单变量和多变量回归分析模型,探讨市场、行业和地区信息对证券价格的影响及其程度大小。结果表明:在我国证券市场中,一方面个股价格变化同时存在显著的行业和地区联动效应,但行业效应更强,行业信息主导着证券价格的变化。在控制了市场和地区信息后,行业信息仍具有信息增量提供能力。另一方面,行业信息与地区信息有互补性,市场信息可被行业和地区信息替代。另外,市场竞争越激烈的行业,行业联动效应越强。当企业变更行业类型时,新旧行业对股票价格变化的影响存在显著的差异。究其原因,与行业内的公司基本面之间所存在的显著正相关性相关。This paper explores the relationship between stock returns and industry,local and market information in Chinese stock market.The results show that,though there is a significant comovement in the stock returns of firms headquartered in the same geographic area as that in US stock market,industry information dominates stock price movement and has incremental information content beyond local and market information.After controlling for industry and local information,there is no significant relationship between stock return and market information.Moreover,the industry comovement of stock return is stronger for firms in industries with higher competition.We argue that the price formation in Chinese stock market has a significant industry component linked to the highly correlated fundamentals of firms within an industry.

关 键 词：证券市场 信息 资产定价 行业联动 

分 类 号：F276.6[经济管理—企业管理]