行业股票价格指数波动特征的实证研究

An Empirical Research on Volatility Characteristics of Industrial Stock Price Indices

行业风险是投资者进行投资决策、选择行业时要考虑的主要因素之一。行业股票价格指数的波动性常用来衡量行业的风险。本文采用四种具有代表性的衡量波动性的指标来研究行业股票指数的波动特征,将总风险量化分解为与市场相关的风险和行业特有的风险两部分,对各行业的风险特征进行深入分析。实证研究采用深交所依据《上市公司行业分类指引》所编制的行业指数数据,分阶段估计股票行业指数的波动性,并进行Kendall协同系数检验。结果表明,不同阶段的行业总体波动性和行业特有的波动性排序间存在一致性,即行业间的波动性大小次序相对稳定,但在与市场相关的波动性排序上不具有稳定性。本文的结论刻画了中国股票市场行业股票指数间的波动性特征,与国际上的相关研究成果具有可比性,对资产在行业间的配置等投资策略问题的研究有参考价值。

The aspect of industrial risks is one of the main factors considered by investors when making investment decisions. Volatilities of industrial stock price indices are often used to measure the industrial risks. This paper mainly investigates the ranking stability of short run volatilities of industrial stock price indices, which is a sort of inter-industry volatility pattern. The whole time span is divided into periods. For each period, four well-constructed volatility measures are used to estimate the industrial short run volatilities, with the total volatilities being decomposed into industry-unique and market-related components. Then Kendall＇s coefficient of concordance is utilized to test whether the cross-sectional volatility ranking of different industrial indices remains stable over time. The empirical research work using real data of industrial indices compiled by Shenzhen Stock Exchange according to Guide for Industrial Classification of Listed Companies shows that in Chinese stock market, the ranking of total volatilities of industrial indices is consistent from period to period. From the volatility decomposition, it is indicated that the ranking of market-related volatilities is not stable while the ranking of industry-unique parts is highly significantly consistent. The resuits of this paper characterize the inter-industry volatility of Chinese stock market, being comparable with related empirical results of other countries and giving useful information for the formulation of investment strategies and portfolio management.