行业板块动态交互引导关系研究
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摘要
股权分置改革以后,股票市场的内部运动发生了明显改变。齐涨齐跌的时代渐渐结束,以同质股票组成板块的交错涨跌成为市场结构运动的主要形式：板块内联动传导与板块间交互引导的板块现象十分突出,且在之后的牛、熊市演变中表现出不同的市场特征。进入后金融危机时期,板块内外的引导关系继续表现,并伴随呈现出新的特点。
本文结合股改以后股票市场运行规律分析了板块运动现象,着重对行业板块间的交互引导关系与信息传递进行了实证检验。首先,结合市场特征,对板块运动,特别是板块间的引导做出系统描述。然后,选用万德(Wind)数据库中申银万国一级行业分类指数的日数据做实证检验。经过数据处理,得到平稳序列,并使用Granger方法,分牛、熊、震荡市对各行业指数进行引导检验,发现一些行业板块两两之间的引导关系。接着,文章引入DCC-MVGARCH模型,在整个考察周期里,分析了板块指数波动的交互冲击,并使用Ox Metrics软件计算出行业指数收益率之间的动态相关系数。
实证结果发现,在牛市初期和金融危机爆发的熊市开始阶段行业板块间的引导关系最为显著。而在全面牛市和熊市中,板块引导关系不再显著。在金融危机后的震荡市场中,板块的异步交易突出,板块引导再次显著。
随后,本文探究了市场信息传导机制,并基于行为金融学中投资者非理性的假设,结合板块运动中迥异的特征,从分析市场参与各方行为的视角探讨了板块运动产生的原因。文章的最后,在解读市场微观结构变化中为提供了若干投资策略,并出于对市场有效性改善的考虑,对我国资本市场市场化改革提出了政策建议。
After the reforms of split-share structure, the stock market structure movement form has changed enormously. The time of rise and fall together has been over, the phenomenon of board linkage and The inter-leading between boards are outstanding, And in bull and bear market show different characteristics. In the Post-crisis era, there appeared new features in board movement.
Combining with stock market style, this paper research board linkage effect and the impact of the leading relationship between plates after The reforms of split-share structure. First of all, board movement was made a systematic description plate phenomenon with the market characteristics. Secondly, we chose shenyin & wanguo Level 1 industry classification index day income data from wind database and got the smooth series with logarithm processing. Then, this paper points cows, bear, concussion marks sectors guide board index inspection. After Granger causality test, we found some industry board between brought sluggish relationships. Finally, the article introduced DCC-MVGARCH model, using Ox Metrics software analysis in different market environment correlation dynamic features. This paper focuses on the dynamic changes of the leading relationship in bull, bear, concussion market.
The empirical study found that, there were significant leading relationship in the initial stage of a bull market and financial crisis of bear market and concussion market, but appeared in Comprehensive bull market. These results can give Investors some methods of management and strategies of investment.
Then, this paper explores the market information transmission mechanism. According to the interactive leading relationship of Industry indexes of the different characteristics, this paper analyzed the cause of board movement in view of the irrational investors'premise of behavior finance. In the end of the article, a number of investment strategies are provided in line with the interpretation of the microscopic structure of the market changes. For the market efficiency improvement, this paper gives a lot of forward policy suggestions about China's capital market marketization reform.
本文结合股改以后股票市场运行规律分析了板块运动现象,着重对行业板块间的交互引导关系与信息传递进行了实证检验。首先,结合市场特征,对板块运动,特别是板块间的引导做出系统描述。然后,选用万德(Wind)数据库中申银万国一级行业分类指数的日数据做实证检验。经过数据处理,得到平稳序列,并使用Granger方法,分牛、熊、震荡市对各行业指数进行引导检验,发现一些行业板块两两之间的引导关系。接着,文章引入DCC-MVGARCH模型,在整个考察周期里,分析了板块指数波动的交互冲击,并使用Ox Metrics软件计算出行业指数收益率之间的动态相关系数。
实证结果发现,在牛市初期和金融危机爆发的熊市开始阶段行业板块间的引导关系最为显著。而在全面牛市和熊市中,板块引导关系不再显著。在金融危机后的震荡市场中,板块的异步交易突出,板块引导再次显著。
随后,本文探究了市场信息传导机制,并基于行为金融学中投资者非理性的假设,结合板块运动中迥异的特征,从分析市场参与各方行为的视角探讨了板块运动产生的原因。文章的最后,在解读市场微观结构变化中为提供了若干投资策略,并出于对市场有效性改善的考虑,对我国资本市场市场化改革提出了政策建议。
After the reforms of split-share structure, the stock market structure movement form has changed enormously. The time of rise and fall together has been over, the phenomenon of board linkage and The inter-leading between boards are outstanding, And in bull and bear market show different characteristics. In the Post-crisis era, there appeared new features in board movement.
Combining with stock market style, this paper research board linkage effect and the impact of the leading relationship between plates after The reforms of split-share structure. First of all, board movement was made a systematic description plate phenomenon with the market characteristics. Secondly, we chose shenyin & wanguo Level 1 industry classification index day income data from wind database and got the smooth series with logarithm processing. Then, this paper points cows, bear, concussion marks sectors guide board index inspection. After Granger causality test, we found some industry board between brought sluggish relationships. Finally, the article introduced DCC-MVGARCH model, using Ox Metrics software analysis in different market environment correlation dynamic features. This paper focuses on the dynamic changes of the leading relationship in bull, bear, concussion market.
The empirical study found that, there were significant leading relationship in the initial stage of a bull market and financial crisis of bear market and concussion market, but appeared in Comprehensive bull market. These results can give Investors some methods of management and strategies of investment.
Then, this paper explores the market information transmission mechanism. According to the interactive leading relationship of Industry indexes of the different characteristics, this paper analyzed the cause of board movement in view of the irrational investors'premise of behavior finance. In the end of the article, a number of investment strategies are provided in line with the interpretation of the microscopic structure of the market changes. For the market efficiency improvement, this paper gives a lot of forward policy suggestions about China's capital market marketization reform.
引文
[1]董志勇.行为金融学[M].北京：北京大学出版社,118-120.
[2]陈君兰、谢赤.曾志坚.证券市场间信息传递效应实证研究-兼论经济危机的影响[J].管理科学学报,2010,(11)：112-120.
[3]张磊.中国股市板块轮动现象简析[J].财税金融,2010,(4)：33-34.
[4]李宏宇.中国股市板块联动效应的空间计量分析[J].财经论坛,2010,(7)：144-147.
[5]陈鹏、郑翼村.中国股市“板块联动”现象分析[J].理论探讨,2006,(10)31-32.
[6]杨海成、芮萌,王清河.海外股市对中国大陆股市的引导关系的研究[J].统计观察,2004,(5)：30-31.
[7]吴世农、潘越.香港红筹股、H股与内地股市的协整关系和引导关系研究[J].管理学报,2005,(3)：190-199.
[8]徐龙炳.上证指数与深证指数协整性研究[J].镇江师专学报(社科版).1998,(4)：33-37.
[9]都伟锦、何桃富.我国证券市场的板块联动效应及模糊聚类分析[J].商业研究,2005,(22)：41-45.
[10]陈暮紫、陈敏、吴武清、谬柏其.中国A股市场行业板块间领滞关系的动态变化实证研究[J].系统工程理论与实践,2009,(6)：19-31.
[11]傅强、刘晓羽.基于EGARCH模型的香港股票市场和权证市场的动态引导关系分析[D].重庆大学硕士学位论文,2008.
[12]方园、陈收.涨跌停板制度对上海股市日内价格变动和投资者行为的影响[J].系统工程,2007,(11)：48-53.
[13]唐德祥、章晓英.信息传递机制对模仿投资行为的作用机理[J].经济论坛,2004,(5)：699-100
[14]何诚颖.中国股市“板块现象”分析[J].经济研究,2001,(10)：82-87.
[15]谢静.异步交易下的市场引导关系实证研究-以A+H股公司为例[J].财经视点,2010,(10)：135.
[16]高铁梅.计量经济分析方法与建模：应用与实例[M].第2版.北京：清华 大学出版社,2009.
[17]陈梦根、曹凤岐.中国证券市场价格冲击传导效应分析[J].管理世界,2005,(10)：24-33.
[18]蒋治平.我国股市行业指数之间的冲击传导研究[J].证券市场导报,2008,(10)：23-28.
[19]仲黎明、刘海龙,吴冲锋.深发展与深成指协整和引导关系的实证检验[J].预测,2003,(2)：69-72.
[20]袁超、张兵,汪慧建.债券市场与股票市场动态相关性研究[J].金融研究,2008,(1)：63-75.
[21]胡昌生、朱迪星.基于LSV模型的个体投资者羊群行为研究[J].统计与决策2008,(12)：135-137.
[22]王志强、王月盈、徐波、段谕.中国股市动量效应的表现特征[J].财经问题研究.2006,(11)：46-55.
[23]孟卫东、唐德祥.我国股市模仿投资行为的理论分析[J].中国流通经济,2004,(2)：57-60.
[24]肖峻.关于中国股市中风格投资与风格动量的研究[J].经济科学,2006,(6)：49-57.
[25]史代敏.股票市场波动的政策影响效应[J].管理世界,2002,(8)：11-15.
[26]kewei Hou.,2007, Industry information diffusion and the lead-lag effect in stock returns [J]. The Review of Financial Studies, (20):1113-1138
[27]Booth G G, R W So Y Tse.,1999, Price discovery in the German equity index derivatives markets [J]. The Journal of Futures Markets,19 (6):619-643
[28]Roope M, R Zurbruegg.,2002, The intra day price discovery process between the Singapore exchange and Taiwan futures exchange [J]. The Journal of Futures Markets.22 (3):219-240
[29]McQueen, Grant, Michael Pinegar,Steven Thorley.,1996, Delayed reaction to good news and the cross-autocorrelation of portfolio returns [J]. Journal of Finance,51,889-919.
[30]Teo, Melvyn,Woo Sung-Jun.,2004, Style effect in the cross-section of stock return [J]. Journal of Fincncial Economics, (74)
[31]Johansen. S.,1991, "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models", Econometrica, Vol.59, No.6, Nov.1551-1580.
[32]Hassan SA, Malik F.,2010,Multivariate GARCH modeling of sector volatility transmission: A DCC model approach [J]. The Quarterly Review of Economics and Finance,47(3)
[33]Min, J. H., Najand, M.A.,1999, Further Investigation of the Lead-Lag Relationship Between the Spot Market and Stock Index Futures:Early Evidence From Korea [J].Journal of Futures Markets,19(2):217-232.
[34]Fama E F, French K. R.,1996,Multifactor explanations of asset pricing anomalies [J].Journal of Financial,,51(1):55-84.
[35]Fama, E F, French K R.,1988, Permanent and temporary components of stock prices [J]. Journal of Political Economy,96,246-273.
[36]Fang, Y., Xu. D,2003,The predictability of asset returns:an approach combining technical analysis and time series forecasts [J]. International Journal of Forecasting,19,369-385.
[37]James, J,2003, Simple trend-following strategies in currency trading [J]. Quantitative Finance,3,75-77.
[38]Kestner, L,2003, Quantitative Trading Strategies:Harnessing the Power of Quantitative Techniques to Create a Winning Trading Program [J]. New York:McGraw-Hill.
[39]Glosten L R, R Jagannathan, D Runkle, D. Keifer. N,1996, On the Relation Between the Expected Value and the Volatility of the Nornal Excess Return on Stocks [J] Journal of Finance 48:777-801.
[40]Nelson D B,1991,Conditional Heteroskedasticity In Asset Return:A New Approach [J].Econometrica 59:347-370.
[41]Frino A,T Walter A West,2000,The lead-lag relationship between equities and stock index futures markets around information releases [J]. Journal of Futures Markets,20 (5):467-487
[42]Glosten L R, R Jagannathan, D Runkle D,Keifer N,1996, On the Relation Between the Expected Value and the Volatility of the Nornal Excess Return on Stocks., Journal of Finance 48:777-801.
[2]陈君兰、谢赤.曾志坚.证券市场间信息传递效应实证研究-兼论经济危机的影响[J].管理科学学报,2010,(11)：112-120.
[3]张磊.中国股市板块轮动现象简析[J].财税金融,2010,(4)：33-34.
[4]李宏宇.中国股市板块联动效应的空间计量分析[J].财经论坛,2010,(7)：144-147.
[5]陈鹏、郑翼村.中国股市“板块联动”现象分析[J].理论探讨,2006,(10)31-32.
[6]杨海成、芮萌,王清河.海外股市对中国大陆股市的引导关系的研究[J].统计观察,2004,(5)：30-31.
[7]吴世农、潘越.香港红筹股、H股与内地股市的协整关系和引导关系研究[J].管理学报,2005,(3)：190-199.
[8]徐龙炳.上证指数与深证指数协整性研究[J].镇江师专学报(社科版).1998,(4)：33-37.
[9]都伟锦、何桃富.我国证券市场的板块联动效应及模糊聚类分析[J].商业研究,2005,(22)：41-45.
[10]陈暮紫、陈敏、吴武清、谬柏其.中国A股市场行业板块间领滞关系的动态变化实证研究[J].系统工程理论与实践,2009,(6)：19-31.
[11]傅强、刘晓羽.基于EGARCH模型的香港股票市场和权证市场的动态引导关系分析[D].重庆大学硕士学位论文,2008.
[12]方园、陈收.涨跌停板制度对上海股市日内价格变动和投资者行为的影响[J].系统工程,2007,(11)：48-53.
[13]唐德祥、章晓英.信息传递机制对模仿投资行为的作用机理[J].经济论坛,2004,(5)：699-100
[14]何诚颖.中国股市“板块现象”分析[J].经济研究,2001,(10)：82-87.
[15]谢静.异步交易下的市场引导关系实证研究-以A+H股公司为例[J].财经视点,2010,(10)：135.
[16]高铁梅.计量经济分析方法与建模：应用与实例[M].第2版.北京：清华 大学出版社,2009.
[17]陈梦根、曹凤岐.中国证券市场价格冲击传导效应分析[J].管理世界,2005,(10)：24-33.
[18]蒋治平.我国股市行业指数之间的冲击传导研究[J].证券市场导报,2008,(10)：23-28.
[19]仲黎明、刘海龙,吴冲锋.深发展与深成指协整和引导关系的实证检验[J].预测,2003,(2)：69-72.
[20]袁超、张兵,汪慧建.债券市场与股票市场动态相关性研究[J].金融研究,2008,(1)：63-75.
[21]胡昌生、朱迪星.基于LSV模型的个体投资者羊群行为研究[J].统计与决策2008,(12)：135-137.
[22]王志强、王月盈、徐波、段谕.中国股市动量效应的表现特征[J].财经问题研究.2006,(11)：46-55.
[23]孟卫东、唐德祥.我国股市模仿投资行为的理论分析[J].中国流通经济,2004,(2)：57-60.
[24]肖峻.关于中国股市中风格投资与风格动量的研究[J].经济科学,2006,(6)：49-57.
[25]史代敏.股票市场波动的政策影响效应[J].管理世界,2002,(8)：11-15.
[26]kewei Hou.,2007, Industry information diffusion and the lead-lag effect in stock returns [J]. The Review of Financial Studies, (20):1113-1138
[27]Booth G G, R W So Y Tse.,1999, Price discovery in the German equity index derivatives markets [J]. The Journal of Futures Markets,19 (6):619-643
[28]Roope M, R Zurbruegg.,2002, The intra day price discovery process between the Singapore exchange and Taiwan futures exchange [J]. The Journal of Futures Markets.22 (3):219-240
[29]McQueen, Grant, Michael Pinegar,Steven Thorley.,1996, Delayed reaction to good news and the cross-autocorrelation of portfolio returns [J]. Journal of Finance,51,889-919.
[30]Teo, Melvyn,Woo Sung-Jun.,2004, Style effect in the cross-section of stock return [J]. Journal of Fincncial Economics, (74)
[31]Johansen. S.,1991, "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models", Econometrica, Vol.59, No.6, Nov.1551-1580.
[32]Hassan SA, Malik F.,2010,Multivariate GARCH modeling of sector volatility transmission: A DCC model approach [J]. The Quarterly Review of Economics and Finance,47(3)
[33]Min, J. H., Najand, M.A.,1999, Further Investigation of the Lead-Lag Relationship Between the Spot Market and Stock Index Futures:Early Evidence From Korea [J].Journal of Futures Markets,19(2):217-232.
[34]Fama E F, French K. R.,1996,Multifactor explanations of asset pricing anomalies [J].Journal of Financial,,51(1):55-84.
[35]Fama, E F, French K R.,1988, Permanent and temporary components of stock prices [J]. Journal of Political Economy,96,246-273.
[36]Fang, Y., Xu. D,2003,The predictability of asset returns:an approach combining technical analysis and time series forecasts [J]. International Journal of Forecasting,19,369-385.
[37]James, J,2003, Simple trend-following strategies in currency trading [J]. Quantitative Finance,3,75-77.
[38]Kestner, L,2003, Quantitative Trading Strategies:Harnessing the Power of Quantitative Techniques to Create a Winning Trading Program [J]. New York:McGraw-Hill.
[39]Glosten L R, R Jagannathan, D Runkle, D. Keifer. N,1996, On the Relation Between the Expected Value and the Volatility of the Nornal Excess Return on Stocks [J] Journal of Finance 48:777-801.
[40]Nelson D B,1991,Conditional Heteroskedasticity In Asset Return:A New Approach [J].Econometrica 59:347-370.
[41]Frino A,T Walter A West,2000,The lead-lag relationship between equities and stock index futures markets around information releases [J]. Journal of Futures Markets,20 (5):467-487
[42]Glosten L R, R Jagannathan, D Runkle D,Keifer N,1996, On the Relation Between the Expected Value and the Volatility of the Nornal Excess Return on Stocks., Journal of Finance 48:777-801.