增长核算方法分析上海股市波动的敏感性——基本面、技术面和政策面因素的影响

An Analysis on the Sensitivity of Fluctuation of the Stock Market of Shanghai by Means of Growth Accounting——Effects from the Fundamental,Technical and Political Factors

采用增长核算方法,引入收益率余值概念代表政策因素的变动,构建了影响股票收益率的双因素模型,进而从实际数据中分散出基本面因素、技术面因素和政策面因素各自的作用与贡献率。对上证指数收益率的实证分析结果表明,短期而言,基本面因素对上证指数日收益率的影响很小,技术面因素的贡献率达到26 4%,政策因素的影响约占70%;从中长期角度看,基本面因素的影响约占22%,政策面因素的作用依旧是最大的,它的贡献率达到75%以上。因而我国股市基本上还是一个政策市,价值型投资者中长期也要重点关注政策面的总体动向,要求管理层政策的出台和变动能使市场形成相对准确的预期,使得政策对股市波动的直接影响转化为间接的指导作用。

The employment of growth accounting with the introduction of residue of the rate of return to represent the change of politial factors constructs a twofactor model affecting the rate of return of the stock market,and further,breaks up from the real data the respective effects and contribution of fundamental,technical and political factors.Empirical analysis on the index return of the stock market of Shanghai shows that in the short run,the effects of fundamental factors on the daily rate of return of the index of the stock market of Shanghai are quite trivial,the contribution of technical factors reaches 26 4%,while that of political ones is 70%;in the medium and long run,the effects of fundamental factors are 22%,that of polictical factors are still the greatest,up to 75%.So the stock market in China is still a policy market.Investors who treasure values of stocks,when investing in the medium and long run,should also focus their attention on the general trend of policies.It requires the issue and change of policies from the authorities should enable the market to form relatively accurate anticipation and enable the policy to transfer direct effects on the fluctuation of stock market to indirect guiding effects.