论文总字数：25390字

摘 要

股票市场的健康发展离不开对股票收益率的分析和判断。现在，投资的概念已经在人们的头脑中根深蒂固，股票的收益率及股价的波动对投资者来说变得越来越重要。本文根据国内外的相关研究成果，以上海和深圳两市A股股票为研究对象，针对不同市场、不同的行业内的各个股票收益率进行了实证分析。考虑多个因素，如当年市场状况以及是否有新颁布的政策方针、又或是新兴产业影响公司的股价信息进行搜集并进行全面调查。运用经济计量学定量知识，建立量化指标与模型，综合运用理论与实证分析相结合的研究方法，阅读文献，进行实地调查，探讨影响股票市场收益率的因素。

首先，本论文对上海和深圳两个城市2015年至2020年的上市公司股票数据进行整合并研究。同时选取具有代表性的几大宏观因素：国内生产总值、美元兑人民币汇率、居民价格消费指数及政府预算支出，将数据整合后，运用计量经济学方法，建立模型，分析股票收益率与所选择的四个因素之间的关系。

其次，我们建立股票收益的回归模型，并对该模型进行实证检验，考虑在内的几个因素为：β系数、账面市值比、市场组合资产及市值率。本文的研究目的是通过建立模型并进行回归检验，以求这几个因素对于我国上市公司股票收益率的影响程度。

关键词：股票收益率 影响因素 相关性

Abstract

The sound development of the ticket market is inseparable from the analysis and judgment of stock returns. Today, investment thinking is deeply rooted in people's minds, stock returns and stock price volatility more and more important to investors. This article is based on relevant domestic and international situations as a result of the investigation, we investigated A shares in Shanghai and Shenzhen, and conducted a empirical analysis of returns different stocks in different markets and different industries. Consider many factors like this year whether new policies or new policies have been issued, emerging industries, market conditions affects company stock price information and conducts a comprehensive survey. Quantitative.

Knowledge of econometrics, establishment of quantitative indicators and models, comprehensive use of research methods combining theoretical and empirical analysis, browsing literature, conducting field surveys, and stock market returns influencing factors

First, this article consolidates the stock price data for Shanghai and Shenzhen listed companies from 2015 to 2020.

At the same time, some representative macro factors were selected: GDP, USD to RMB exchange rate, CPI, government.budget spending. After consolidating the data, we use econometric methods to establish a model and select the price-return rate and the relationship between the four factors.

Next, establish a stock price regression model and test it empirically. Some factors to consider are Beta coefficient, book value ratio, market portfolio assets and market value ratio. The purpose of this study.

Build a model and perform regression tests to determine the impact of these factors on listed company equity returns Chinese company.

Key Words: Price earnings ratio, influencing factors, correlation

目录

摘 要 I

Abstract II

第一章 引言 2

1.1 研究背景 2

1.2 研究现状 2

1.2.1国外对于股票市场的研究 2

1.2.2国内对于股票收益率的研究 2

1.3 研究意义 4

第二章 我国上市公司股票收益率影响因素的实证分析 5

2.1实证研究原则及模型设计 5

2.1.1实证研究原则 5

2.1.2实证模型设计 5

2.3样本的选取及整理 6

2.4实证分析 6

2.4.1宏观因素分析 6

2.4.2其他因素分析 9

第三章 结论及投资建议 16

参考文献： 23

致谢 26

附件 27

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