中國A股—交易所與行業別因素之影響

Stock Exchange and Industry Effects on A-Shares in China

陳昱婷(Yu-Ting Chen)

指導教授 ： 邱顯比

國立臺灣大學/管理學院/財務金融學研究所/碩士(2015年)

https://doi.org/10.6342/NTU.2015.10426

摘要

中國大陸資本市場自1990年上海交易所及深圳交易所開業以來，歷經二十多載的發展，至今上海與深圳兩個證券交易所的股票總市值在全球交易所排名中皆名列前茅，其股票報酬率的影響因素已然成為全球投資人關注的重點之一。

本論文主要探討交易所與行業別兩大因素對中國A股投資報酬率之影響，針對1994年1月1日至2014年12月31日，共計21年度各月份的簡單報酬率進行實證研究。

為了有效分析影響中國A股的重要因素，本論文首先檢視Fama-French的三因子對上海交易所與深圳交易所A股投資報酬率之影響，並於過程中比較其重要特性是否因交易所與產業別而異。再者，作者以交易所與行業別兩大因子嘗試解釋市場風險、規模、淨值市價比等三大因子無法捕捉的超額報酬，以期更完整描述影響此二交易所股票報酬率之因素。

本論文的實證結果可歸納為以下三點：
1. Fama-French三因子模型大致適用於中國A股市場，其中市場風險因子的影響效果最為顯著。其中，市場風險、規模與淨值市價比等三大因子在上海交易所解釋能力較強且與Fama-French結果一致；三因子模型在上海交易所與深圳交易所的影響效果存在顯著差異，在不同行業別的解釋能力亦不盡相同，顯示交易所因子與行業別因子為影響中國A股報酬率的重要因素。因此，本論文依此進一步分析此兩大因子對於中國A股報酬的影響。

2. 交易所及行業別兩大因子可以額外解釋近10%三因子模型無法解釋的超額報酬。實證結果顯示中國A股市場存在「深交所溢酬」，在「信息傳輸、軟件和信息技術服務業」、「金融業」和「文化、體育和娛樂業」等行業別的股票亦存在溢酬效果。

3. 中國曾在2005年實施股權分置改革，本論文以此年份劃分前後期，實證結果顯示Fama-French的三因子模型解釋能力在前後期無顯著差異，然而交易所與行業別兩大因素在後期對於中國A股報酬率的解釋能力較好。另外，本論文分別探討在牛市與熊市時期各因子對於中國A股報酬率的影響差異，實證結果顯示Fama-French的三因子模型在熊市時期的解釋能力顯著優於牛市。交易所、行業別因子的解釋能力在兩時期無顯著差異，但是某些特定行業，例如「文化、體育與娛樂業」，在牛市時期有顯著的溢酬效果，在熊市時期則無特定產業存在行業溢酬效果。

關鍵字

市場區隔 ； 超額報酬 ； 三因子模型 ； 交易所因子 ； 行業別因子

並列摘要

The capital market in China developed rapidly in 1990s and after two more decades, the total market capitalization of Shanghai Stock Exchange and Shenzhen Stock Exchange both ranked top 10 out of all exchanges in the world. Hence, identifying the factors that would affect the stock returns in these two exchanges has already become a very important issue for international investors.

This thesis focuses mainly on how exchange factor and industry factor impact the stock returns of A-Shares in both Shanghai and Shenzhen Stock Exchanges. We select data from January 1, 1994 to December 31, 2014 and use monthly simple rate of return data to conduct the empirical study within the 21-year span.

In order to identify key factors that would impact the stock returns of A-Shares, this thesis first examines the applicability of the Fama-French Three-Factor Model on both Shanghai and Shenzhen Stock Exchanges and we observe whether the characteristics differ in different exchanges and different industries. Next, we use the exchange factor and industry factor to capture the excess returns that cannot be explained by market risk factor, scale factor and value factor.

The conclusion can be summarized as the follows：
1. Fama-French Three-Factor Model can capture around 50% of the stock returns of A-Shares in China. Among the three factors, the market risk factor is the most important one and has similar effects on both Shanghai Stock Exchange and Shenzhen Stock Exchange. However, for scale factor and value factor, there are significantly different impacts on the two stock exchanges. What’s more, there are also significant differences among 19 industries in China. It gives an indication that both exchange factor and industry factor are important factors for the A-Shares in China. As a result, we conduct further research on the exact impact of these two factors.

2. Exchange factor and industry factor can explain about 10% of the excess return that cannot be captured by the Fama-French three factors. Besides, the empirical result shows that there is “Shenzhen stock exchange effect in China. Also, some industries enjoy premium effects as well, such as the Finance industry.

3. The China Securities Regulatory Commission released the Share-trading Reform of Listed Companies in 2005. Hence, we split the time span into two parts, early stage and late stage. The empirical result shows that there is no significant difference in early stage and in late stage in terms of the explanatory power of the Fama-French Three-Factor Model. However, in late stage, the exchange factor and industry factor have better explanatory power of the stock returns of A-Shares in China. On top of that, we also discuss how these factors behave during bull market and bear market. The empirical result shows that Fama-French Three-Factor Model has better explanatory power during bear market. As for the exchange factor and industry factor, there is no significant difference between these two periods; however, it is worth mentioning that certain industries enjoy excess return during bull market but in bear market, there is no industry that has this kind of effects.

並列關鍵字

Market Segmentation ； Excess Return ； Three-Factor Model ； Exchange Factor ； Industry Factor

參考文獻

[1] Fama, Eugene, F., and Kenneth R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465.

[2] Fama, Eugene, F., and Kenneth R. French, 1993, Common risk factors in th returns on stocks and bonds, Journal of Financial Economics 33, 3-56.

[3] Lintner, John, 1965, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics 47, 13-37.

[4] Markowitz, Harry, 1952, Portfolio selection, Journal of Finance 7, 77-91.

[5] Merton, Robert C., 1973, An intertemporal capital asset pricing model, Econometrica 41, 867-887.