影响股价波动之结构性因子的实证研究

An Empirical Research on Structural Factors Affecting Stock Price Volatility

股价波动与GDP等宏观指标总量变动之间差异明显,结构性因素具有重大影响,而结构性因子难以用总量经济指标来衡量。影响股价波动的代表性结构性因子包括不同行业内上市公司的成长性指标、盈利能力指标以及估值指标。本文以A股上市公司作为样本,并重点分析非金融类行业的上市公司,通过对近13年的历史数据进行的实证分析表明,盈利增长为最优成长性因子,EBIT/IC指标为最优盈利能力因子,PB为最优估值因子;估值水平的变动与盈利增长指标正相关,同时与货币供应量M1指标高度相关。

There are obvious differences between stock price volatility and macroeconomic indicators such as GDP, however structural factors which are difficult to measure the macroeconomic indicators have a great influence. Typical structural factors that affect stock price volatility include the growth, profitability as well as the valuation of listed companies. The paper uses A-share listed companies as samples, and focuses on analyzing the non-financial listed companies based on historical data of nearly 13 years , and the empirical analysis shows that earnings growth is the optimal growth factor, EBIT/IC is the optimal profit ability factor and PB is optimal valuation factor. Growth of earnings is positively correlated with, in the meantime the money supply M1 indicator is highly correlated with the change of valuations.