方差分解分析可以定义为向量自回归模型的解释。这个模型有助于指示每个变量可以向其他变量提供的信息。因此，它可以用于确定每个变量的变量的目的(Brovkin et al, 1990)。从方差分解分析可以认为，中国概念股的驱动因素是美国市场收益，而不是中国股市。虽然在中国股票市场和中国概念股之间没有很好的溢出效应，但可以观察到投资者注意力的时变相关系数。方差分解分析是由陈军、姚曼泽和迈克尔•威廉姆斯对中国概念股进行检验后得出的。此外，Grossman et al.(2007)、Suh(2003)和Wahab and Lashgari(1993)等研究人员也注意到了投资者对价格差异的关注。为了研究方差因子，讨论了中国概念因子。
横截面变化的预期收益概念股票市场可以找到在中国的合资企业市场β,大小E / P杠杆和图书市场的比例可能在股票回报。回报率的横截面变化可以通过规模和“账面市值比”来实现。这有助于提供一个简单而强大的横截面平均股票回报的特征。
Variance decomposition analysis may be defined as the interpretation of the vector auto regression model. This is the model helps in the indication of the information which can be contributed by each of the variable to other variables. Thus, it can be used for the purpose of determination of the variables of each of the variables (Brovkin et al, 1990). From the variance decomposition analysis, it can be assumed that the China concept stocks shares have been driven by the US Market returns rather than the Chinese Stock market. Though it does not have a very spillover effects among the stock markets of China and the Chinese Concept stocks, time varying correlation coefficient which specified the investors’ attention can be observed. The variance decomposition analysis has been done by Jun Chen, YiumanTse and Michael Williams who have examined the Chinese concept stock. In addition to this, the investor’s attention related to price discrepancies has been done by a number of researchers such as Grossman et al. (2007), Suh (2003) and Wahab and Lashgari (1993). In order to study the variance factor, the Chinese concept factor has been discussed.
According to Chang, it is said that the majority of Chinese concept stocks come from Taiwan. Chang has also found that there is a high amount of investor’s attention in case of Chinese concept stocks coming from Taiwan. He stated that higher will be the value of export ratio and longer will be the years of establishment, better will be the possibility to invest in China. The relationship among the Chinese concept stock with the investor’s attention has been studied by Lin (2001). Yang has also done the analysis of the impact of the investments which are done in the Chinese stocks for the Taiwan listed firms.
The cross sectional variation in the expected returns in the Concept stock markets in China can be found by the joint ventures of the market β, size E/P leverage and the ‘book to market’ ratio which may be there on the stock return. The cross sectional variation of the returns can be done by the size and the ‘book to market’ ratio. This helps in providing a simple and powerful characterization of the cross sectional average stock returns.