货币周期指导下的行业轮动投资策略在我国的运用

发布时间：2018-05-23 22:58

本文选题：行业轮动 + 货币周期　；参考：《复旦大学》2013年硕士论文

【摘要】：改革开发以来中国经济经历了一轮飞速的发展,也诞生了一大批富人阶级,随着年龄和财富的增长,这部分人的保值增值的理财需求正逐渐增长。而2008年的次贷危机也使人们更清晰的认识到资本市场的残酷,资产配置理论也就顺应着时代的召唤,正式进入中国。但是由于国内外经济的发展阶段、增长模式的差异,决定了一些国外运用比较成熟的理念在中国不能实现预期的效果,我们急需一些更有中国特色的经济理论和指标来指导我们的投资,货币周期理论即是其一。本文主要分为四部分。第一部分介绍了本文的研究背景及意义,第二部分是对前人有关货币周期理论、资产配置理论的一些文献综述及本文创新点的阐述,第三部分则是我们的实证研究部分,主要包括我国过去13年货币周期的划分、周期性行业和非周期性行业的判断及相应指数的编制、此外还分别通过描述性统计的方法和构建含虚拟变量的时间序列进行货币周期下行业轮动策略有效性的检验以及该模型对于未来时期收益率的预测,第四部分则主要是根据上文分析得出的一些结论和建议。本文运用比较可行的货币周期划分方法,通过两类行业指数的编制,货币周期指导下的行业轮动投资策略和市场收益率的比较,最后进行描述统计及时间序列模型的构建,说明通过贯彻执行货币周期指导下的投资策略,确实可以获得远胜于市场回报的收益率,为以后进行资产配置提供一些新的思考和借鉴。
[Abstract]:Since the reform and development of China's economy has experienced a rapid development, but also the birth of a large number of rich class, with the increase of age and wealth, this part of the people's financial needs to maintain and increase value is gradually increasing. However, the subprime mortgage crisis in 2008 also makes people realize the cruelty of capital market more clearly, and the theory of asset allocation also conforms to the call of the times and formally enters China. However, due to the stage of economic development at home and abroad and the differences in growth patterns, it is decided that some mature concepts used abroad cannot achieve the expected results in China. We need more Chinese economic theories and indicators to guide our investment, including currency cycle theory. This paper is divided into four parts. The first part introduces the research background and significance of this paper. The second part is the literature review of the previous monetary cycle theory, asset allocation theory and the innovation of this paper. The third part is our empirical research part. It mainly includes the division of monetary cycles in the past 13 years, the judgment of cyclical and non-cyclical industries and the compilation of corresponding indices. In addition, by using descriptive statistical method and constructing time series with virtual variables, the validity of industry rotation strategy under the monetary cycle and the prediction of the return rate in the future period are tested, respectively. The fourth part is mainly based on the above analysis of some conclusions and recommendations. This paper uses the feasible method of currency cycle division, through the compilation of two kinds of industry indexes, the comparison of the investment strategy and the market return rate under the guidance of the currency cycle, finally carries on the description statistics and the time series model construction. It is shown that through carrying out the investment strategy under the guidance of currency cycle, we can really obtain a rate of return far better than the market return, and provide some new thinking and reference for the asset allocation in the future.
【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】：F224;F822.2

【参考文献】