股票收益的领先-滞后效应的分析——基于泸深股市的实证分析

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1、AbstractLoandMackinlayuseNewY．0rkStockexchangetradingdataasaresearchobjectandhavemadetheconclusionthatweeklyreturnsonbigfirmsexceedweeklyreturnsonsmallfirmswithinthesameindustry．However，notviceversa．Atthesametime，itCanberegardedasasourceoftheexcessreturnsofinvestors．Inotherword

2、s，underthepremiseofstableincomesequence，thereisastrongcorrelationbetweenbigfinnsandsmallfirms．Autocorrelationindicatesthatthereisacertaindegreeofpredictabilityofstockreturnsintheshortterms．Besides，manyscholarshavestudiedthelead．1agrelationsbetweentheAmericanandEuropeanstockmark

3、etsreturns，suchaslead．1agrelationshipbetweenrevenueinhigherturnoverratetradingvolumeandinlowertradingvolumeturnovervolume．Researchscholarsfoundthattherearemorecomplexlead．1agrelationshipsintheChinastockmarket，andinthedifferentstatesofthemarket，Lead—lageffectdiffersgreatly．Under

4、thepremiseofcontrolscaleandfromanempiricalpointofview,thispaperusedtheclassicmeasurementmethodsofunitroottest，Grangercausalitytestandvectorautoregressionmodel，tostudywhetherthereisthelead—lageffectinChinaIsstockmarket．Ifitdoesexist，thenverifythelead-lagrelationshipbetweeeninter

5、．industryandintra-industry．Inthispaper,werandomlyselectedeightsections矗omtheindustrysector,eachindustryisdividedintothreeconstituentstocksbasedoncirculatingmarketcapitalizationweightedportfolio(Large，mediumandsmall)·AccordingtoVectorAutoregressionmodel，verifingthelead—lagrelati

6、onshipbetweenbetweeeninter-industryandintra-industry．Usingdailyreturndataasthebasisdata,andcarryoutempiricalresearchtogetresuIts：gainsinlargercompaniesexceedthatinsmallercompaniesininter-industry,Thislead．1agrelationshiphasnotanobviousperformanceintheinter-industry·Thescale．bas

7、edlead．1agrelationshipsinChinastockmarkethaveacertainsignificanceforinstitutionalandindividualinvestorswhocarriedoutrationalinVestment．However’accordingtotradingvolume．turnoverratefluctuationsmomentumandotherfactorsthatmayaffectthelead—lagrelationship，itisnecessarytomakea矗】nher

8、investigationstoidentifywhetherthesefactorsremaintheso