中文摘要：

以2006年10月至2010年7月的周度数据为样本,采用具有GARCH过程的多因素模型,研究了股票市场收益率、利率期限溢价、汇率价格改变、煤炭和石油价格变动对我国28个行业板块超额收益的影响。研究结果表明,汇率改变对钢铁、煤炭和石油以及商业连锁板块具有显著的负向影响,利率期限溢价对以资本密集型为主的制造业具有显著的正向影响,石油价格收益率仅对电器、医药和旅游酒店板块有影响,煤炭价格收益率对电力消耗量较大的公用事业和建筑业具有显著的负向影响,而石油和煤炭收益率不会显著影响煤炭和石油板块的股价收益。

英文摘要：

By using a multifactor GARCH model and adopting the weekly data from October 2006 to July 2010,the main purpose of this paper is to identify the risk factors of 28 industry sector indexes in Chinese stock market,such as market return,interest rate term premium,foreign exchange rate risk,and oil and coal price returns.Empirical analysis provides five key results in the determination of the stock returns.Firstly,the exchange rate change has a remarkable negative impact on sectors of steel iron,coal oil,and commercial chain industry.Secondly,the interest rate term premium shows positive effects on capital intensive manufacturing industries.Thirdly,oil price returns can only influence stock returns of electric appliance sector,medicine sector and Leisure hotel sector.Fourthly,there exists a significantly negative relationship which coal returns exert to the public utilities industry and architecture industry.Finally,the authors surprisingly find that both oil price returns and coal price returns are all not the risk factors of coal oil sector.