风险事件下中国股票市场的投资策略研究

发布时间：2018-05-07 07:55

本文选题：风险事件 + 投资策略　；参考：《复旦大学》2013年硕士论文

【摘要】：投资者在进行证券投资时面临最重要的问题是挑选证券、合理配置以及抓住合适的买卖时机锁定收益。积极的投资组合管理可以通过充分的分散化投资达到规避非系统性风险的效果。然而完备精细的投资组合策略在上行的系统风险下是否还具有抵抗力?当遭遇不同类型的风险事件时,是否有行之有效的投资策略与之对应以保住收益,使投资者不再手足无措的面对损失?近年来,随着资本市场的不断完善和发展,股指期货、融资融券相继引入,丰富了投资策略的选择和构建,这些工具能在多大程度上帮助投资者规避风险,保住收益? 资本市场对风险事件的反应提供了一条研究的线索,顺着这条线索梳理和探索将有助于构建风险事件下的投资组合策略。本文根据引发风险事件的来源将风险事件划分为自然灾害风险事件、经济风险事件和政治风险事件并相应的选取汶川地震、次贷危机和十八大的换届选举作为相关领域的研究对象,以各个行业的板块指数作为构建投资策略的依据。经过实证分析发现： (1)风险事件对A股市场有极大地负冲剂效应。将事件划分为事件发生前、事件发生期间和事件发生后三个时期,发现汶川地震、次贷危机和十八大换届选举在事件发生期间收益率都出现了明显地下降。汶川地震在事件发生后的收益率下降的趋势更加显著；由于受到政府行为的干预,次贷危机和十八大换届选举在事件发生后的收益率水平基本和事件发生期间持平,而在次贷危机后,由于受到政府四万亿救市计划的提振作用,风险资产组合的收益率达到了7.4%,超过了无风险资产收益率3.2%,这对投资者具有积极的借鉴意义。 (2)从投资收益的角度看,自然、经济、政治三类风险事件中,通过积极的组合管理,风险资产组合可以获得超过无风险资产收益率的情形仅发生在次贷危机发生后；风险资产组合收益率相对较高的期间还发生在地震灾害期间以及十八大召开后的一段时间；从风险大小的角度看,风险资产标准差的最大值出现在次贷危机发生期间,其次是自然灾害发生一周后,最后是十八大召开期间。综合来看,收益最大值出现在次贷危机发生情况下,对应的风险也最大,这也符合了收益越大,风险越大的规律。 (3)由于不同行业对系统风险的敏感度不同,板块指数的起伏也呈现明显差异。但是在重大风险事件发生时,基建类和能源类板块具有明显的支撑效果,而金融类的如银行和券商板块,体现出较大的弹性,在重大风险事件发生前具有领涨作用,但是当遭遇到风险事件后其下降也极为迅速。
[Abstract]:The most important problem for investors to invest in securities investment is to select securities, rationally configure and seize the right time to lock the profits. The active portfolio management can achieve the effect of avoiding non systematic risk by fully decentralized investment. However, the complete and fine portfolio strategy is in the upper system risk. Is there a resistance? In the case of different types of risk events, is there an effective investment strategy to protect the income and make the investors no longer in the face of loss? In recent years, with the continuous improvement and development of the capital market, stock index futures and financing have been introduced in succession, enriching the choice of investment strategies. And to what extent can these tools help investors avoid risks and keep profits?
A clue to the response of the capital market to the response of risk events is that combing and exploring this clue will help to build portfolio strategies under risk events.
According to the source of risk events, this paper divides the risk events into natural disaster risk events, the economic risk events and political risk events and the corresponding selection of Wenchuan earthquake, the subprime mortgage crisis and the eighteen major exchange elections as the research object in the related fields, and take the plate index of each industry as the basis for the construction of investment strategy. Through the empirical analysis, it is found that:
(1) the risk events have a great negative impact on the A stock market. The events were divided into the events before the event, the event occurred and the events occurred in three periods. The Wenchuan earthquake was found, the subprime crisis and the eighteen major elections were obviously reduced during the event. The Wenchuan earthquake was under the rate of return after the event. The downward trend is more significant; due to the intervention of government behavior, the subprime crisis and the eighteen major election after the events were basically flat after the event, and after the subprime crisis, the return of the risk asset portfolio reached 7.4% due to the boost by the government's four trillion bailout plan. Risk-free assets yield 3.2%, which has a positive reference for investors.
(2) from the point of view of investment income, in the three types of risk events of nature, economy and politics, through active combination management, the risk asset portfolio can get more than the risk-free asset rate only after the subprime crisis, and the period of the relatively high rate of return on risk assets also occurs during the period of earthquake disaster and eighteen After a period of time, from the point of view of the risk, the maximum value of the standard deviation of the risk assets appeared during the subprime crisis, followed by a week of natural disasters and the last eighteen period. The greater the interest, the greater the risk.
(3) because the sensitivity of different industries to system risk is different, the fluctuation of plate index also shows significant differences. But in the event of major risk events, the infrastructure and energy sectors have obvious support effects, while the financial sector, such as banks and brokerage firms, shows greater elasticity and has a leading rise before major risk events. But when it comes to risk events, its decline is also very fast.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】