个股的信息来源与龙头股效应

The Information Sources of Individual Stock: the Relationship Between Leaders and Followers

本文从中国股票市场的特点出发 ,根据股票信息结构的不同 ,将股票分为龙头股和跟随股两类 ,构造了两种类型股票不同的信息来源与传导模型 ,同时利用中国股票市场的历史数据验证了以下三个主要结论 :1 .中国股票市场存在着龙头股和跟随股之间的交叉自相关性 ;2 .个股之间的交叉自相关性使得个股收益率与市场收益率的相关系数增大 ,且跟随股的相关系数大于龙头股 ;3.由于跟随股的投资者错误地根据龙头股的个股信息定价 ,因此跟随股有较为明显的过度反应现象。根据本文的结论 ,跟随股投资者盲目跟随龙头股价格变化调整股票预期价格的做法将造成投资损失。

Base on the special characters of Chinese stock market, we divide all stock into two group: the leaders and the followers according to the different information delivery structures of these two kind of stocks. The empirical results also support our models. We can draw three important conclusions from the empirical works: 1. The leaders and the followers are cross\|autocorrelated. 2. The correlation coefficients between individual returns and market portfolio return can be larger because of the cross\|autocorrelation between individual stocks, and the coefficients of followers are especially large. 3. Since the investor of followers using the particular information of leaders by mistake, the price of followers is over\|react obviously.