Research On The Lead-lag Effect Of China's A-shares Market Based On Input-output Analysis

The efficient market hypothesis has occupied the important position since it is proposed,but because of its strict assumptions controversial,a lot of scholars study found that the theory cannot explain the problems in the reality,especially share prices cannot respond to a variety of information immediately in the stock market and then tend to have a significant lead-lag effect.So many scholars begin to study lead-lag effect in stock market.However foreign studies started earlier,and rich empirical results were obtained based on different theoretical viewpoints.At home,the research on the lead-lag effect in the stock market started late and the research findings were relatively simple,there also was no unified conclusion.Meanwhile,with the development of China's A-shares market,the stock market is playing a a very important role in the national economy.Recently,phenomenons,like A share taken into the MSCI emerging markets index and China concept stock hoping come back,are expressed confidence and exception to China's A-shares market from the international market.However,China's A-shares are still faced with high volatility,short bull and secular bear,strong speculation,major retail investors and so on.To the internationalization and maturity of China's A-shares,the SFC also clearly put forward to prevent the risk spillover and cross infection,so it is necessary to study the lead-lag effect of China's A-shares to grasp the market rule,prevent the risk and provide countermeasure advices to market participants..This paper studies the lead-lag effect of China's A-shares market based on input-output analysis.First of all,the paper sorts out the existing research literatures through the literature research method and choose a new research perspective of the supply and demand relationships between upstream and downstream industries based on the slow diffusion of information hypothesis.The paper defines upstream and downstream industries through input-output table and calculate direct consumption coefficients and direct distribution coefficients to quantize tightness between upstream and downstream industries.On the basis of this,we build up the excess return rate of upstream and downstream industries using all of the listed companies in China's A-shares between January 1997 and June 2017 as the research object.Next,this paper respectively establish panel regression model to study whether the actual supply and demand relationship between industries,fundamental information and company trait information can predict the current stock' excess yields and find the prediction of strength and direction from the industry level and company level.The empirical results show that China's A-shares market exists significant lead-lag effect either in industry level or company level.It shows that lag 1 the upstream industry portfolio excess returns are negatively related with the current excess yields and lag 1 the downstream industry portfolio excess returns are positively related with the current excess yields.At the same time,from the forecast intensity,the downstream industry portfolio excess returns with a lag of 1 period has a stronger prediction effect.In addition,the lag 1 macroeconomic indicators and lag 1 company trait information can also partially explain the leading lag effect of China's A-shares market.This paper's main contributions are as follows.Firstly,this paper set up the industry matching table between 《 Guidance on industry classification of listed company》and industry classification standard of 《Input-output table》,so it lays a good foundation for subsequent scholars who using input-output table to study Chinese stock market.Second,the innovation of study views and data processing.Using the input-output principle to quantitatively analyze tightness between the upstream and downstream industry,the quantitative results are considered as a weight to calculate upstream or downstream industry portfolio excess returns.It is the first try to use this method in study of lead-lag effect in China.It also opens up the future research field.