An Empirical Study On Efficiency Of Industry Analysis In China's Stock Market

Industry analysis is a bridge linking the macro economy analysis and listed company analysis. It is an important segment in the securities investment analysis. The efficiency of industry analysis in stock market concerns with the extent of return earnings that the investors can gain by industry analysis. This research selected return rate of listed companies'stocks in the Shanghai securities market from 1996 to 2005. It divided all the listed companies in Shanghai securities market into 22 industries according to"Guidance on the Industry Classification of Listed Companies", made the equal-weight industry portfolio, and calculated the return rate of industry portfolio. It did the empirical study on the return rate of industry, using relative analysis, variance analysis and multi-regression. The research shows in China's stock market, it has highly positive relevance between the different industries. The average industry return rate doesn't have significant differences. The return rate of industry portfolio is significantly affected by business cycle and industry concentration degree. The speculation and convergence of China's stock market is very strong, so the efficiency of industry analysis is low.