Empirical Research On Plate Effect Of CH Sinese Stock Market

In a certain period of time, the stocks in one plate appears up and down together. We call this phenomenon "plate effect". Along with the development of our country securities market, the stock type is increasing and the partition of all kinds of stock is more and more obvious. All kinds of "plate effect" gradually highlight. So according to the law of each stock plate, investment decision becomes more and more feasible and profitable.This paper writing purpose is through the establishment of financial econometrics model to identify China stock market plate effect. The study sample is banking sector, at the same time, select Shanghai stock composite index as market portfolio. No reasonable measurement method can lead to the seeming "abnormal" phenomenon. In order to avoid the "bad" model, we should test the market efficiency and "abnormal" phenomenon together with the model of the "expected normal revenue". So. we do scatter plot chart for the Logarithmic return rate of bank combination and Shanghai stock composite index. Scatter plot chart present a linear relationship between them. We selected a linear regression model as the theoretical model. Through the T test, we can see that Regression equation passed significant inspection. Therefore, the linear regression model has a statistical significance. Use the Logarithmic return rate of bank combination to analysis the Logarithmic return rate of the market. Forecast the expected normal earnings by experience regression equation. Calculation excess yield of bank combination by the difference between actual value and expected normal earnings. With U inspection we can learn Normal day forecast logarithmic rate of return obev Normal distribution, and its Standard deviation records as δ. Therefore. when excess yield is greater than δ. we call it abnormal phenomenon. The plate effect appears.Second, on the basis of plate effect, measure the strength of the plate effect. The ratio of excess return of absolute value and logarithmic rate of return standard deviation is the strength of plate effect.The empirical results show that, In the selection of samples, the stock plate effect appears on2010.12.13、12.15、12.21、12.23、12.24、12.28、12.31、2011.1.7、1.11、1.25、1.27、1.28、1.31、and2.16. The strength of plate effect are1.73、1.12、1.198、2.13、1.85、1.17、1.398、3.32、1.46、1.43、1.14、1.36、1.17、1.02.On the basis of qualitative and empirical analysis, So investment decision can be made according to the law of each stock plate and the returns will be improved.