An Empirical Study On The Effect Of Industry Concentration Of Excess Returns Of A Share Market In China

In recent years,the continuous development of the stock market in China.Especially in 2017,the independence of white horses in 2017 has inspired people to return to value investment once again.From the perspective of investors,when investing in value investors,it should be analyzed from three perspectives: macro,industry,and company's own characteristics.Especially under the premise of the implementation of the reform policy on the supply side,the development of the industry in our country will inevitably be profoundly affected.Therefore,the correct understanding of the market structure of the industry is particularly important.The industry concentration is an indicator that can reflect the market structure and changing trend of an industry.Therefore,choosing the industry concentration as the research object and exploring its impact on the excess return will provide a certain reference for the value investors.At the same time,it also provides suggestions for the formulation of China's policies.Based on the Fama-French three-factor model,this paper empirically tests 14 Chinese Ashare markets based on the Hausman test,the random effects model,and the industry classification standards issued by the China Securities Regulatory Commission in 2012,using panel data from 2001 to 2016 as a sample.The effect of industry industry concentration on excess returns.The study finds that there is an industry effect in China's A-share market,and the increase in industry concentration can lead to a positive growth in the industry's excess return rate.Conversely,a drop in industry concentration can cause the industry's excess return rate to decline.However,the empirical results also show that due to the high proportion of individual investors in the stock market in China,the extent of industry concentration to explain the excess return rate is lower than the three factors.