作　　者： ; ;

机构地区： 复旦大学管理学院

出　　处： 《财经研究》 2004年第11期75-82,共8页

摘　　要： 文章提出对行业指数收益率序列分阶段进行聚类分析的动态分析方法,以考察行业间的相互关系及其演化过程。文章利用深交所的行业指数数据进行实证研究,提出基准类的概念,分析了各行业相对于基准类的紧密性、稳定性,以及各行业间的相似程度,并探讨了有关宏观经济事件对行业间相互关系的影响。由于文章所采用的研究方法并不依赖于行业收益率序列的概率分布,因此其研究结果有助于加深投资者及监管部门对行业间相互关系的了解,对投资决策具有参考价值。 The paper suggests clustering the return series of industrial indexes stage by stage to explore the relations among industries and their evolution course. The paper makes an empirical study by using the industrial index data from Shenzhen Stock Exchange. It puts forward the concept of (basic)(bench mark) class, analyzing the closeness, steadiness of (different) industries with regard to the basic(bench mark)class, and the similarity of different industries. It also attempts to analyze the influence of some macroeconomic events on the mutual relations among industries. Our research (methodology) does not depend on the probability distribution of the return series and our research results can help the investors and supervisors to further understand the mutual relations among industries. Thus it has great reference value to investment decisions.

关 键 词： 行业分析 行业指数 聚类分析 宏观经济分析

领　　域： [经济管理]