行业因素对我国A股市场收益率的效应研究——基于2001～2010年面板数据的实证检验

摘要

依据我国证监会的行业划分标准，采用我国A股市场2001—2010年的面板数据，通过构建行业因素代理变量与股票市场收益率之间的经济模型，实证检验了我国A股市场存在行业效应。行业集中度越低，行业市值规模越大或行业账面市值比越高，行业收益率越高。行业系统风险变量Beta值对我国股票市场收益的波动并不具有解释力。对于投资者来说，行业选择比个股选择更重要。正确理解国家产业政策，把握行业市场结构变化，投资者能获得更高的投资收益。%This article investigates the effect of industry factors on stock market returns in China. Based on an econometric mod- el and the panel data from 2001 to 2010, it empirically analyzes the industry effect in China＇ s stock market. Stock market re- turns rise with the lower industry concentration or higher size and book-to-market ratio. In addition, beta is not significant on the stock market volatility. For investors, the choice of industry is more important than individual stock. Investors will achieve higher investment returns on condition that grasp the country＇s industrial policy and the changes of market struc~tre.