行业创新效率与行业股票收益率的关系研究——2005-2012年中国制造业面板数据的实证检验被引量：5

Research on the Relationship between Industry Innovative Efficiency and Industry Stock Returns Based on an Empirical Test of the Panel Data of Chinese Manufacturing Industry from 2005 to 2012

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摘要本文构建了我国行业创新效率与行业股票收益率的面板回归模型,依据政府国民经济行业划分和证监会行业划分标准,采用我国制造业细分行业2005-2012年的面板数据进行实证分析,结果表明:在我国国情下,行业创新效率和行业股票收益率之间存在显著正相关关系。且反映未来前景的增量信息指标行业创新效率和反映目前运营状况的公共信息指标行业市值规模对行业股票收益率存在交互影响。该实证结果有利于投资者更好地制定股票投资行业选择决策,并能够为国家制定行业发展、技术创新等政策提供参考依据。 This paper constructs a panel regression model on Chinese industry innovative effi- ciency and stock returns, and makes empirically analysis using the panel data of Chinese manufac- turing industries from 2005 to 2012 based on industry division standards of the Government Sector and the Securities Regulatory Commission. The results show that there is a significant positive cor- relation between industry innovative efficiency and stock returns in China. Moreover, the incremen- tal information index, industry innovative efficiency which reflects prospects for the future, the public information index, industry market size which reflects the current operational status have an interactive effects on industry stock returns. The empirical results will help investors make better industry selection decisions while investing equity, and will also provide a reference to formulate in dustry development, technological innovation and other policies.

作者肖智翟小冰周明

机构地区重庆大学经济与工商管理学院

出处《现代财经（天津财经大学学报）》 CSSCI 北大核心 2014年第11期3-12,共10页 Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

基金中国工程院重大战略咨询项目(2012-ZD-15)

关键词行业创新效率行业市值规模行业股票收益率面板回归模型 industry innovative efficiency industry market size industry stock returns panel regression model

分类号 F830.91 [经济管理—金融学]

作者简介肖智，男，重庆大学经济与工商管理学院教授，博士生导师，主要从事数理金融和数量经济学研究；翟小冰，女，重庆大学数量经济学硕士，主要从事数理金融和证券分析研究；周明，男，重庆大学经济与工商管理学院教授，主要从事产业技术创新研究。

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