经济短周期背景下股价波动的行业效应研究

The Industry Effect of Stock Price Volatility in the Short Economic Cycle

本文从经济增长和通货膨胀两个维度,对中国的经济短期周期进行划分,经过定性和定量分析,选取宏观经济景气一致指数和CPI的年度累计同比增长率作为划分依据。通过对过去15年来复苏、繁荣、滞涨、衰退四个阶段内中国资本市场股价指数收益量化分析,梳理出每个阶段表现突出、能获取明显超额收益的代表性行业。实证分析显示,金融、地产、食品饮料行业为跨越周期的代表性行业;医药生物、商品贸易等为中后周期的代表性行业;交运设备、建筑建材等为中早周期的代表性行业。研究表明,中国资本市场全行业的基本面波动与经济周期波动基本趋同,而分行业的波动则体现出明显的差异,并进一步分析了行业效应的产生原因,包括经济运行特征和发展所处阶段以及产业链传导机制的影响。

The paper divides the short cycle of China＇s economy based on two dimensions of economic growth and inflation, selects macroeconomic consistence index and the annual cumulative growth rate of CPI as indicators. Through qualitative and quantitative analysis on the data of China＇s capital market in the past 15 years, finds out representative industries which can obtain obvious excess returns on sector stock index during the each phase of recovery, prosperity, stagnation and declining. The empirical analysis shows that the financial, real estate, food and beverage industry are the representative industries across the cycle; medicine and biological, commodity trade industries are those of late cycle, transportation equipment, building materials are those of early cycle. In this paper, the research shows that in the view of all industries, the fundamentals fluctuations are basically convergent with the economic cycle fluctuation, whereas the volatility of various industries reflects obvious differences. The causes of the industry effect include the characteristics of economic operation and development phase as well as the influence of the industrial chain transmission mechanism.