Can the Industry Index Become Another Market Variable? Empirical Evidence from the Listed Banks in Shanghai Stock Exchange

摘要：

To identify the variables that explain the rate of return of stock, Sharpe developed a simplified single-index model in 1963, and thereafter more models, such as multifactor model, were constructed to explain the relationship. According to common sense, we can find the common movement of stocks prices in the same industry. Several researchers have found and examined it. In this paper, we construct a new model, which we call the double-index model and introduce a new market variable, which is called the industry index. Through comparison of Adjusted R Squares and correlations of residuals across the bank stocks between the single-index model and the double-index model, we find the industry index improve the explanation power of the model.

关键词： the single-index model the double-index model industry index industry variable Shanghai Stock Exchange listed bank

作者: Fengjun Liu

作者单位: College of Business HongHe University, HU Mengzi, China

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 315-319

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）