中國大陸股市報酬穩定因素之研究

A Study of the Stable Factors of Stock Returns in Mainland China

由於每個國家或地區的股市特性不同，過去的文獻顯示，相同的理論模型可能在歐美國家適用但在其他國家股市並不適用。且根據經濟部統計，2010 年中國大陸已成為台灣最大的貿易夥伴、最大貿易順差來源、最大出口市場、第二大進口來源與第一大對外投資地區。因此，本研究之目的在以探索性因素分析、交叉確認因素分析與模擬分析等方法探討大陸上海及深圳股市報酬之穩定因素，並分析其穩定因素與市場因素、規模因素、淨值市價比因素及價格動能因子間的相關性結構。本研究結果顯示，上海及深圳股票報酬中均存在一個穩定因素，而這個穩定因素與Fama-French 三因子模型的市場因素最為接近且有非常顯著的相關性。另外，上海股市發現存在達顯著性的反向價格動能，但深圳股市未發現顯著的價格動能，這個結果顯示上海及深圳股市與美國及台灣股市在價格動能效應方面可能有所差異。

The stock market in each country or region has different characteristics. Previous literatures showed that the model suitable in Europe and the United States may not be appropriate for the stock markets in other countries. According to the 2010 statistic information of Taiwan’s Ministry of Economic Affairs, China has become the largest trading partner, the largest source of trade surplus, the largest export market, the second largest source of imports and the largest foreign investment area of Taiwan. Therefore, the purpose of this study is to investigate the stable factors of the Shanghai and Shenzhen stock market returns in mainland China by using exploratory factor analysis, cross-validation factor analysis and simulations. Furthermore, this study examined the relationships of these stable factors and the market factor, size factor, book to market ratio factor and price momentum factor using correlation analysis. The results showed that the Shanghai and Shenzhen stock market had one stable factor, and this stable factor was significantly correlated with the market factor which was proposed by Fama and French. In addition, reverse price momentum was found in the Shanghai stock market, whereas the Shenzhen stock market did not have significant price momentum. Compared to the stock markets in the United States and Taiwan, the Shanghai and Shenzhen stock markets may have different price momentum effect.