The Survival Characteristics Of The Industry Stock Index And Its Influencing Factors Research

After more than 20 years of development, China's stock market has made remarkable achievements. The structure of stock traders is becoming more rational; Transactions are becoming more normative; The transaction system is increasingly improved, and the market regulation has gradually put in place, so that makes the investment value also increasingly apparent in China stock market which has become the world's second largest capital market measured by market value.It is in this context, this paper uses survival analysis to study industry stock index on China's stock market, to examine whether there are significant differences in survival characteristics of inter-industry, And also analyses factors of industry stock index's survival characteristics, to examine whether these factors significantly and whether the impact on the stock index of different industries there are significant differences.As the yield of industry stock index contains systemic risk factors, so that it cannot show the performance of the industry itself. Therefore, before the survival analysis, we have to measure the systemic risk of industry stock index and then peel it off. This paper uses the Capital Asset Pricing Model (CAPM) to measure the systemic risk in the industry stock index. The results show that there is a large systemic risk in China's stock market, and also there are great differences between industries. Then follow the standards set by this paper, screening out six industries stock index which were less affected by the systemic risk. Finally, the yield of these six industries stock index were stripped of systemic risk.Next, from the two perspectives of continuous increase and continuous decrease, this paper uses Survival Analysis to describe the survival characteristics of these six industries stock index which have been stripped systemic risk. By comparing the survival function, probability density function and hazard function can be found that the survival characteristics of inter-industry differences are significant, and the survival characteristics of continuous increase and that of continuous decrease of the same industry are non-symmetrical.Finally, this paper analyse the continuous volume and the continuous increase rate or continuous decrease rate of the previous period these two factors which may affect the survival characteristics of the industry stock index, among them, the continuous volume is the same period factor, the continuous increase rate or continuous decrease rate of the previous period is the different periods factor. Doing these analysis is to examine whether these two factors significantly affect the survival characteristics of the industry stock index, and whether the impact on the stock; index of different industries there are significant differences. The results show that the factor of continuous volume are very significant for the stock index of all industries, but the effect varies by industry. The factor of continuous increase rate or continuous decrease rate of the previous period is less significant than continuous volume, the impact varies greatly by industry and the change direction of the previous period.