Research On Similarity And Otherness Of Industries Basing On Stock Market Indices

In stock market,it's a kind of common investment styles to choose some special industries to do investment,so it's significant that how to choose those special industries.In this paper we hoped to do research on similarity and otherness of industrial stock market indices,in order to find some objective laws that they existed.That contributes to investors to have clear understanding on characteristics of industries,so that the investors are able to choose better industries to invest.This article,making the similarity and otherness as the entry point,drew the conclusion by theoretical and logical derivation and empirical test.Most previous methods were either extracting similarity of data to analyze or extracting otherness of data to analyze.Different with those,data were divided into similarity's part and otherness' s part,which made them relative,and those were relations of complementary.Factors analysis(FA)and principal component regression(PCR)were used to construct the disjunctive model at this place,which divided the variables represented the return rate of industrial stock market indices into whole part and individual part.The whole part represents the similar characteristics of change in various industries,and the individual part represents the different characteristics that the different industries have particularly,which means part of similarity and part of otherness.According to the central point,we separated the mean,variance,Sharpe ratio of return-rate's variable and the curve of stock index.Finally,we get the mainly results as below.1)This model makes the similarity and otherness separate most entirely in some sense.2)The changing characteristics of variables in whole part are similar as the whole market,which explain that change's features of market are the consistent characteristics had by all industries.This part is equal to the return rate which comes from systematic part.3)Features of variables' volatilities are different with each other in individual part,which explains that there are obvious difference between various industries.This part is equal to the return rate which comes from nonsystematic part.4)The proportion of similarity and otherness not only indicates the proportion of systematic part and nonsystematic part in return rate,but also reflect the degree of similarity in different industries.It influences the chances of investment more or less.5)By means of ordering industries by characteristics of individual part,we assessed the good and bad of this part in different industries,which provided investors with some advice and reference to make investment for industries.