数字金融对行业资源配置效率的实证研究——基于一级行业周收益率数据  

An Empirical Study on the Efficiency of Industry Resource Allocation by Digital Finance:Based on the Weekly Rate of Return of the First‑level Industry

作　　者：关成华[1] 张伟 Guan Chenghua;Zhangwei(School of Economics and Resource Management,Beijing Normal University,Beijing 100091,China;School of Economics and Resource Management,Beijing Normal University,Zhuhai 519087,Guangdong,China)

机构地区：[1]北京师范大学经济与资源管理研究院,北京100091 [2]北京师范大学经济与资源管理研究院,广东珠海519087

出　　处：《技术经济》2022年第7期146-158,共13页Journal of Technology Economics

摘　　要：为考察数字金融对证券市场不同行业的影响,从而为市场风险识别、标的估值及投资策略制定等提供客观的参考指标。同时,也为数字金融政策制定、市场监管提供重要的参考依据。利用A股市场过去十年一级行业周收益率数据,构建证券市场行业收益率及波动率对数字金融指数等变量的面板自回归模型,实证结果表明:数字金融与证券市场整体收益率呈正相关。数字金融的增长可以抑制市场波动率的增长。数字金融对传媒、电子、房地产、家用电器、计算机、汽车、通信等行业均具有较好的经济显著性和统计显著性。在长期,行业间收益差异有收敛迹象。数字金融促进行业的收益均衡,说明数字金融对行业资本配置效率的提升有正向作用。In order to investigate the impact of digital finance on different industries in the securities market,objective reference indicators for market risk identification,target valuation and investment strategy formulation was provided.At the same time,it also provides an important reference for digital financial policy formulation and market supervision.Using the weekly return data of the first‑level industry in the A‑share market in the past ten years,a panel autoregressive model of the industry return and volatility of the securities market on the digital financial index and other variables is constructed.The empirical results show that the digital finance is positively correlated with the overall return of the securities market.The growth of digital finance can restrain the growth of market volatility.Digital finance has good economic and statistical significance for industries such as media,electronics,real estate,household appliances,computers,automobiles,and communications.In the long run,there are signs of convergence in earnings differences between industries.Digital finance promotes the balance of income in the industry,indicating that digital finance has a positive effect on the improvement of capital allocation efficiency in the industry.

关 键 词：数字金融 资源配置效率 行业指数 收益率 半年/年波动率 

分 类 号：F832.48[经济管理—金融学]