| 上海股票市场行业与地区效应分析 |
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| 引用本文： | 范龙振,王海涛.上海股票市场行业与地区效应分析[J].系统工程学报,2003,18(2):123-127. |
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| 作者姓名： | 范龙振 王海涛 |
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| 作者单位： | 复旦大学管理学院,上海,200433 |
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| 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。
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| 关 键 词： | 股票市场 股票划分 行业效应 地区效应 上海 |
| 文章编号： | 1000-5781(2003)02-0123-05 |
| 修稿时间： | 2001年11月19 |
District and industry influences on equity returns in SSE |
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| FAN Long_zhen,WANG Hai_tao.District and industry influences on equity returns in SSE[J].Journal of Systems Engineering,2003,18(2):123-127. |
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| Authors: | FAN Long_zhen WANG Hai_tao |
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| Abstract: | 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. |
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| Keywords: | Shanghai stock market monthly returns constricted regression model industry effect district effect |
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