摘要
按照证监会的行业分类标准与股票的成长性和市值,将中国股票市场的股票分为22个行业和8种投资风格.依据中国股市1991年1月到2003年12月期间的股票月收益率数据,利用带约束的回归分析方法对股票收益率的行业效应和投资风格效应进行分析,结果表明中国股票市场均具有明显的行业效应和投资风格效应,并且行业效应大于市值投资风格效应,市值投资风格效应大于成长性投资风格效应.因此,在中国证券市场上采取“自上而下”的资产配置方式是合理的.
Based on standard classification of industries in china, growth and market value of stock, the stocks in Chinese stock markets are divided into 22 industries and 8 styles. With monthly return data from January 1991 to December 2003, the paper utilize restricted regression model to make an empirical research on industry and style effects. The results show that Chinese stock markets has obviously distinct industry and style effects, and industry effects are more significant than market value style effects, and market value style effects are more significant than growth style effects.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2006年第4期44-49,共6页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(70373053)
关键词
行业效应
投资风格效应
约束回归
industry effects
style effccts
restricted regression model
