摘要
根据国家标准行业分类,参照地区的远近和经济发达程度,把上海股票市场的股票划分为15个行业、12个地区.依据上海股票市场从1995年7月到2000年6月的股票回报率月数据,利用约束回归分析法对回报率的行业和地区效应进行了横截面和时间序列分析,结果表明上海股票市场具有明显的行业和地区效应,并且行业效应大于地区效应.
Based on standard classification of industries in China,and physical distance and economical development, the stocks in the Shanghai Stock Exchange (SSE) are divided into 15 industries and 12 districts. With the monthly data from July 1995 to June 2000 in the SSE, and making using of restricted linear regression model, the effects of districts and industries are studied. The results indicate that Shanghai stock market has obviously district effect and industry effect, and industry effect is more significant than district effect.
出处
《系统工程学报》
CSCD
2003年第2期123-127,共5页
Journal of Systems Engineering
关键词
股票市场
股票划分
行业效应
地区效应
上海
Shanghai stock market
monthly returns
constricted regression model
industry effect
district effect
