1、數(shù)據(jù)選用了 wind 數(shù)據(jù)庫(kù)中在數(shù)據(jù)（前復(fù)權(quán)，不考慮再投資），其和市場(chǎng)交易所有的日收益率和月收益率收益率的采樣區(qū)間為 2007/01/01-2009/12/31，月度數(shù)據(jù)為 2003-2013 年。選擇這樣的數(shù)據(jù)區(qū)間主要考慮是為了更好地觀測(cè)到上羊群效應(yīng)的存在，而 2007-2009經(jīng)歷了牛市和熊市的大波動(dòng)，2003-2013 年則意在使市場(chǎng)的現(xiàn)狀。用最近的市場(chǎng)數(shù)據(jù)觀測(cè)中國(guó)行業(yè)分類標(biāo)準(zhǔn)來(lái)自上市公司行業(yè)分類指引（2012 年修訂），選取了其中13 個(gè)行業(yè)進(jìn)行研究：電力、房地產(chǎn)、建筑、交通、金融、采礦、農(nóng)牧、批發(fā)、水利、文娛、信息、住宿和租賃類。依據(jù)理論推導(dǎo)的模型，市場(chǎng)組合收益率按照平均方法計(jì)算。對(duì)

2、于市場(chǎng)的定義日度和月度有所不同，分別為 和 10%，即處于收益率分布中最高和最低的此比率的市場(chǎng)定義為市場(chǎng)。因?yàn)閷?duì)于時(shí)間跨度長(zhǎng)的月度數(shù)據(jù)，市場(chǎng)擁有的時(shí)間來(lái)反應(yīng)，故情況的定義應(yīng)該更為廣泛。Table 1 是樣本數(shù)據(jù)的描述統(tǒng)計(jì)。行業(yè)CSAD 均值(%)CSAD 標(biāo)準(zhǔn)差(%)公司數(shù)量日度數(shù)據(jù)電力 房地產(chǎn)建筑 交通 金融 采礦 農(nóng)牧 批發(fā) 水利 文娛 信息 住宿租賃月度數(shù)據(jù)電力 房地產(chǎn)建筑 交通 金融 采礦 農(nóng)牧 批發(fā) 水利文娛6.55397.80477.14065.99478.01177.83006.88946.91886,.92447.97252.63283.77052.91362.19996.61

3、823.13813.02562.31772.63456.02808614963904366401602824信息住宿租賃7.71386.89107.49812.46743.68013.23781241423實(shí)證分析行業(yè)日度數(shù)據(jù) UP日度數(shù)據(jù) DOWN1212電力房地產(chǎn)行業(yè)月度數(shù)據(jù) UP月度數(shù)據(jù) DOWN1212電力5.040.18980.00165.380.09650.0017(9.02)(1.90)(0.51)(9.80)(0.76)(0.30)房地產(chǎn)7.450-0.19970.01995.730.1980-0.0052(8.61)(-1.30)(3.88)(8.11)(1.26)(-0.7

4、6)建筑5.870.19640.00125.810.06080.0001(8.43)(1.53)(0.27)(8.63)(0.40)(0.02)交通4.780.13640.00585.350.00880.0027(10.87)(1.60)(1.85)(13.22)(0.09)(0.62)金融6.16-0.07350.02665.410.02280.0031(5.88)(-0.40)(4.61)(6.97)(0.13)(0.41)采礦6.090.22930.00215.690.1844-0.0035(9.14)(2.07)(0.59)(8.26)(1.34)(-0.68)農(nóng)牧6.99-0.074

5、10.01095.94-0.16680.0127(9.12)(-0.50)(1.97)(8.85)(-1.08)(1.88)批發(fā)5.500.18450.00375.860.03370.0031(10.70)(2.08)(1.25)(11.62)(0.30)(0.63)水利6.360.00530.00994.880.2288-0.0034(9.58)(0.04)(1.73)(8.35)(1.90)(-0.67)文娛6.70-0.09590.00916.10-0.00100.0146(9.43)(-0.62)(1.55)(5.08)(-0.0053)(3.0902)信息6.890.13600.00

6、136.090.1880-0.0057(9.80)(0.96)(0.23)(10.12)(1.33)(-0.91)住宿6.46-0.20660.02295.540.05340.0013(7.65)(-1.13)(3.06)(7.52)(0.33)(0.19)租賃5.340.21380.00626.020.06810.0032(7.45)(1.73)(1.37)(8.51)(0.43)(0.48)行業(yè)月度數(shù)據(jù) 10% UP月度數(shù)據(jù) 10% DOWN1212電力6.660.11000.002582.86-6.79380.1518(0.75)(0.17)(0.23)(1.58)(-1.34)(1.2

7、6)房地產(chǎn)233.26-16.91550.3220-3.040.6477-0.0077(3.00)(-3.01)(3.24)(-0.26)(0.54)(-0.25)建筑82.69-5.49650.1036-112.4911.6388-0.2781(2.02)(-1.86)(1.99)(-1.33)(1.46)(-1.50)交通-6.330.9174-0.007037.35-3.13140.0761(-0.48)(0.82)(-0.31)(1.09)(-0.91)(0.92)金融127.58-8.15920.1567-17.232.3460-0.0541(1.79)(-1.68)(1.95)(-

8、2.00)(2.70)(-2.56)采礦1.550.6264-0.006081.75-6.13820.1247(0.08)(0.47)(-0.28)(3.70)(-3.27)(3.20)農(nóng)牧24.25-1.86390.0538-77.407.7374-0.1716(4.84)(-2.79)(2.87)(-0.42)(0.43)(-0.40)批發(fā)3.370.19400.0060-19.472.9929-0.0766(0.29)(0.22)(0.39)(-0.40)(0.60)(-0.63)水利22.45-1.75250.0535-0.940.8340-0.0177(0.52)(-0.44)(0.

9、61)(-0.07)(0.54)(-0.47)建筑交通金融采礦農(nóng)牧批發(fā)水利文娛信息1.130.4641-0.0439-1.381.3867-0.1052*(0.77)(0.90)(-1.04)(-0.53)(1.72)(-1.72)住宿22.93*-7.5112*0.6399*1.490.5240-0.0571(6.63)(-6.79)(8.13)(0.17)(0.19)(-0.28)租賃0.400.7671-0.0722-8.133.3202-0.2481(0.11)(0.63)(-0.74)(-1.03)(1.40)(-1.42)行業(yè)日度數(shù)據(jù) 10% UP日度數(shù)據(jù) 10% DOWN1212

10、電力5.040.18980.00165.380.09650.0017(9.02)(1.90)(0.51)(9.80)(0.76)(0.30)房地產(chǎn)7.450-0.19970.01995.730.1980-0.0052(8.61)(-1.30)(3.88)(8.11)(1.26)(-0.76)建筑交通金融采礦農(nóng)牧批發(fā)水利文娛信息住宿租賃文娛-94.496.4361-0.0804-0.411.1282-0.0277(-0.70)(0.77)(-0.66)(-0.004)(0.11)(-0.12)信息-30.072.8375-0.046552.21-4.33660.1033(-0,13)(0.14)(-0.11)(9.18)(-7.40)(7.02)