The Analysis Of Intra-plate Stock Price Comovement In China

Nowadays,with the gradual development of China stock market entering a mature,normative and healthy development path,many investors have become more and more concerned about China stock market,especially the stock price linkages in which stocks have regularly risen and fell.In the thesis we select major financial,military,railway infrastructure,coal chemical,big data,cloud computing,Beijing-Tianj in-Hebei,Belt and Road,Beidou navigation,e-commerce concept,new energy,and internet from RESSET's financial research database,which span from January 2010 to December 2016,and select the monthly return data of the company stocks in the selected sector,and based on the approximate factor model,the linkage effect as the research object,cumulative contribution rate through the model,and jointly measure two indicators to analyze the linkage effect of stock prices within the stock market of China,and measure the degree of synchronization of the stocks and sectors of the company's stocks in the stock market sector,and conduct year-by-year comparisons.Under different market conditions the paper analyzes the synchrony of the stocks in the selected plate.The common factors are rotated in an orthogonal manner,and the company stocks in the stock market are classified according to the rotated results.The research shows that there is a strong linkage effect between the stocks in China stock market from 2010 to 2016.Among them,in the traditional plate,the linkage effect of coal and chemical stocks is the strongest,and the linkage effect of military stocks is relatively weak.Among the emerging sectors,Internet stocks have the strongest linkage effect,and cloud computing stocks have the weakest linkage effect.The common degree of the selected 12 plates is concentrated in[0.7,1],and it is concluded that there is strong synchronization in China stock market.Among them,the beidou navigation,big data,all the way,the Internet,and beijing-tianjin-hebei area on the all of the five common degrees within 0.7-1,therefore these plates in the stock market influence large number of stocks is more,strong and synchronicity.However,the distribution of new energy,military industry and cloud computing is relatively dispersed,and there is a high proportion of the common degree under 0.7,indicating that the synchronization between individual stocks and plates in the plate is relatively weak.Under different market condition,with the correlation analysis of stocks in China stock market plates,it is concluded that in volatile market,a bull market and bear market,each stock in the China stock market sectors are greatly influenced by stock and plate,this is consistent with the cumulative contribution rate analysis results above.Finally,based on previous empirical analysis results,these provide theoretical support for investors in rational investment and stock market regulators in optimizing regulatory functions and improving regulatory mechanisms.