基于省级行政区划分类的中国A股联动分析——以重庆成为直辖市为例

藉助重庆市被设立为直辖市这一特殊历史事件,对基于省级行政区划分类的原四川A股的联动变化进行了检验。分析发现,中国A股市场的信息传播渠道是通畅的,但参与中国A股市场的投资者并不都是理性的。相对重庆组合、四川组合,重庆市被设立为直辖市是各样本联动变化的原因之一。虽然各样本联动变化短期内呈现出过度反应的特征,但或许是投资者有限关注的存在,直到重庆市正式被设立为直辖市,投资重庆A股的投资者才将行政区划上的重庆市与四川省区分开来。研究得出,基于省级行政区划分类的中国A股存在联动关系。

With the special historical event of Chongqing restored as a direct - controlled municipality, the article tests the former Sichuan province＇ s A- share comovement based on the provincial- level administrative divisions. The results show that the infor- mation dissemination channels of China＇ s A- share are unobstructed, while not all investors＇ participation in A- share market are rational. Compared with Chongqing and Sichuan portfolios, the event is the reason for the change of each sample comovement. Although the comovement change shows overreaction feature in the short run, perhaps it is the existence of investors＇ limited attention. Investors who invest Chongqing A shares can＇ t distinguish neither Chongqing city nor Sichuan Province until Chongqing is formally restored as a direct- controlled municipality. Investors categorize China＇ s A- share based on provincial -level administrative divisions. The study indicates that there exists a comovement in A -share market based on the provincial - level administrative divisions