An Empirical Study Of The Synergy Of Geographical Proximity Stock Returns

It is similar to the synergism of the stock industry,the regional synergism or regional synergism of the stock that has gradually aroused the attention of the academia and the investors.The main purpose of this paper is to analyze the synergism of China's geographical proximity of stock returns.The standard of proximity is based on the provincial administrative units.Based on the purpose of this study,this paper adopts the method that is combination of theoretical analysis and empirical research.Firstly,introducing the concept of Synergism of stock returns.then,explaining the synergism on stock returns,according to the internal mechanism of information asymmetry theory and local preference theory,and on the basis of S-CAPM,build an empirical model of stock returns synergism of geographical proximity,to examine the listed companies that is located in same region,namely,stock return' synergism of the company headquarters of listed companies that is located in the same province.On the theoretical analysis,the research object is based of the CSI 300.by the first quarter of2012 to the third quarter of 2017 the rate of return,using spatial econometric model(spatial error model,spatial lag model)to synergism problems of China's stock returns.The results show that: in China's stock market,the synergism obviously exists in stock return of geographical proximity.the internal mechanism can be explained by information asymmetry of local investors and the elsewhere investor and investors local preferences.In this article,firstly,the region be classified that according to the provincial administrative divisions of listed companies headquarters.Then,finding stock return exists significant spatial correlation in the same province by using spatial correlation test,this paper use four different kinds of spatial econometric model to demonstrate the synergism of stock returns of geographical proximity,the results are examined in the selection of different models on the stock market of our country,the existence of collaboration,and through the significant test.In the test of robustness of models.this paper tests to the empirical results based on the extended model and sample selection respectively,and finds out the spatial error model under random effect(SEM)on the extended model checking that is more obvious.and finds out the spatial error model under random effect(SEM)on the extended model checking.Theresults are more obvious,and in the sample selection,it is found that the results are consistent with the previous empirical results.The results show that both the model selection and the sample selection have significant synergy in the geographical proximity of the stock.The conclusion of the article is more convincing.Finally,based on the optimal portfolio strategy of investors and policy authorities,effective countermeasures to prevent financial risks caused are given by regional synergy of stock returns.