The Research On The Co-movement Of Locations About Rate Of Return Of Chinese Stock Market

Stock geographical co-movement which is similar to stock industry co-movement gradually attracted the attention of academics and investors. So far, the academic study of stock yields correlation were systematic and in-depth analysis mainly from the market co-movement and industry co-movement, and researchers achieved fruitful results. However, for the current domestic related literature, research literature on the geographical co-movement is relatively rare. The paper is based on the results of previous studies, and the research perspective is stock yield on geographical co-movement. To do a system and in-depth analysis on stock yield in China regional correlation and regional correlation caused by factors related. This will not only help investors to form the optimal portfolio strategy, but also help policy authorities effectively guard against financial risks caused by stock yield regional correlation. Therefore, this research has important theoretical and realistic significance.The main purpose of this study is to analyze Chinese stock yield regional co-movement and correlation of related factors. Based on the purpose of this research, we adopt the method of combining the theoretical analysis and empirical research. First of all, based on the theory of effective market and the behavioral finance theory, we explain stock yields the inner mechanism of the regional correlation, and based on the CAPM, we construct containing the geographical factors, industry factors and market factors of stock yield model of three dimensions, to examine the same region of the listed company, the company headquarter is located in the same region of all regional correlation rate of return on the shares of listed companies. Secondly, on the basis of theoretical analysis, all a-share listed companies in Shanghai Stock Exchange and Shenzhen Stock Exchange as the research object, we use the sample stocks and the Shanghai composite index on yield data, using simple mixed regression model and panel data model of the fixed effects model, causing Chinese stock yield study of the regional correlation factors.The results show that Chinese stock yield ’regional correlation is existing, by its internal mechanism, behavioral finance information diffusion, the market investors preference change and regional segmentation and related theory to explain. In the article, starting from the two aspects of the above conclusion, first of all, by provincial administrative region standard area of our country, and then demonstrates the existence of Chinese stock yield regional correlation, the conclusion shows that listed companies within the same company headquarters is located in the provincial administrative region. There is a significant correlation between stock returns. Second, according to the standard of economic zone of China’s regional division, and on the basis of the Chinese stock returns existence of regional correlation, and the analysis conclusion and according to the standard of provincial administrative region on China’s regional division of research conclusion, the Chinese stock yield regional correlation exists obviously.On the basis of theoretical analysis, this paper studies the system causing the stock yield region correlation factors, the empirical analysis shows that Chinese stock yield regional correlation factors and economic fundamentals, company and region segmentation has a close relationship. The empirical analysis shows that at the same time, the company on a smaller scale, low return on total assets, individual investors holding high, low marketization degree and low per capita gross domestic product is the cause of Chinese stock yield region correlation exists. Finally, in the paper, based on the investor’s optimal portfolio strategy and policy authorities effectively prevent caused by regional stock yield correlated from the point of view of financial risk, countermeasures and suggestions are given.