| Summary: | 碩士 === 義守大學 === 管理研究所碩士班 === 94 === <Part 1>
This paper investigated the impact factors of the stock returns in the China. We employ China''s different industrial stocks as the sample. Sample data range from February 1994 to October 2002, and sample size is 373 stocks listed on the ShangHai and ShenZhen stock exchanges. We utilize Carhart''s (1997) four factors model to investigate the impact factors of China''s different industrial stocks returns. Particularly, we apply quantile regression that is seldom used in past studies as the research method.
This paper finds that market risks have the positive statistically significant relationship with China''s different industrial stock returns. This means that the higher market risk, the higher stock returns. Except industries of foodstuff, information technology and textile, we find that firms'' sizes have the positive significant effect on the other industries stock returns. Moreover, from the book to market ratio, we can find that most China''s industrial stocks are belong to growth stocks. Market investors can use contrarian strategies to invest China''s stock market.
<Part 2>
This paper investigated the structure changes of the impact factors of stock returns in the China''s industries. We employ China''s stocks categorized by different industries as the sample. Sample data range from February 1994 to October 2002, and sample size is 373 stocks listed on the ShangHai and ShenZhen stock exchanges. We utilize Carhart''s (1997) four-factor model to investigate the impact factors of China''s different industrial stocks returns. Particularly, we apply fix-length windows recursive OLS in variable that is seldom used in past studies as the research method.
This paper finds that market risks have the positive statistically significant relationship with China’''s different industrial stock returns. When the wholesale business and textile industry are in the different firm sizes, the impact of book-to- market ratio and momentum to industrial stock returns is different. Under different book-to-market ratio, the impact factors of the wholesale business and composite industries are also different. While the past returns of wholesale business, foodstuff industries, information technology, textile industry, energy industry or petrifaction-plastics industry were higher, the relationships of book-to-market ratio and excess return will have structure changes.
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