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具有某种共同属性且波动相关性较大的股票被归为一种风格 ,风格是由基本因素与心理现象等多种因素共同引起的。对上证1 80样本股的聚类分析表明 ,我国证券市场上股票存在着以行业类别为基础的风格 ,以微观属性划分的风格不明显。按照流通市值、B/M以及ROE三类指标划分的组合的相关性研究发现 ,具有相似属性的股票波动相关性明显较强 ,并且三种属性构建的风格组合都取得了超额回报。因此 ,我国证券市场具有一定的风格特征。
Shares with some common attributes and greater volatility are classified as a style, and the style is caused by many factors such as basic factors and psychological phenomena. The clustering analysis of 180 sample stocks in Shanghai shows that there is a style based on industry category in the stock market in our country, and the style of micro-attribute is not obvious. According to the research of the correlation between the market capitalization, B / M and ROE, it is found that the volatility of stocks with similar attributes is obviously stronger, and the combination of styles constructed by the three attributes have achieved excess returns. Therefore, our stock market has certain style characteristics.