市场、规模和杠杆因素对中国股市波动的影响分析

The Impact of Market,Size and Leverage on the Chinese Stock Market Volatility

笔者对Fama和French在1993年提出的三因素模型进行了改进,在此基础上对中国股票市场的收益进行横截面检验和时间序列检验。改进的三因素模型的检验结果表明,市场因素、规模因素和杠杆因素对股票收益的横截面差异具有重要的解释作用。而市场因素、规模因素和账面市值因素对于股票收益的时间序列差异的解释能力较强。对时间序列检验中的截距项的显著性检验显示,改进的三因素模型对于股票收益的横截面差异有很好的解释能力。

We choose 16 typical insurers, then estimate and compare their solvency margin ratios. The results show that the solvency is better than before. Then we use the panel data model to study the influence factors of sol- vency margin ratio in different insurers, The empirical results show that there are several differences. The life insurers and large insurers are mainly influenced by the capital and investment, the property insurers and Chinese-funded insurers are mainly influenced by the capital, reinsurance, payment and cost, the small insurers are also influenced by the operating efficiency, and the foreign insurers are mainly influenced by the capital and reinsurance.