基于二阶段模型的中国股市资金流向研究

发布时间：2018-12-16 16:24

【摘要】：在资金博弈和资金推动的证券市场中,资金流向确认与计算是金融工程的一大理论难题,国内外从事资本市场研究的学者及实际工作者都在寻求这方面突破,但均未有实质性进展。有鉴于此,本文在现有资金流向计算方法基础上,首次提出二阶段资金流向理论模型和构建资金流向指标体系,并实证分析中国股市资金流向。研究结果表明,资金净流入/资金净流出2.3为牛市上证综指顶部,资金净流出/资金净流入1.3为熊市上证综指底部;行业资金净流入/资金净流出1.78为高成长行业,资金净流出/资金净流入1.54为低增长行业,高成长股资金净流入/资金净流出比值2。研究还发现,历史10天、20天及30天的资金净流向对未来10天、20天及30天的资金净流向有显著的预测作用。
[Abstract]:In the fund game and fund driven securities market, the confirmation and calculation of capital flow is a big theoretical problem in financial engineering. Scholars and practitioners engaged in capital market research at home and abroad are looking for a breakthrough in this field. But no substantial progress has been made. In view of this, based on the existing calculation methods of capital flow, this paper first puts forward a two-stage theoretical model of capital flow and constructs an index system of capital flow, and empirically analyzes the capital flow of Chinese stock market. The results show that the net inflow / outflow of funds is 2.3 at the top of the bull market Shanghai Composite Index, and the net capital outflow / capital inflow 1.3 is the bottom of the bear market Shanghai Composite Index. Industry net capital inflow / net outflow 1.78 is high growth industry, net capital outflow / capital inflow 1.54 is low growth industry, high growth stock net capital inflow / net fund outflow ratio is 2. 5%. The study also found that net capital flows over a period of 10 days, 20 days and 30 days significantly predict net flows over the next 10 days, 20 days and 30 days.
【作者单位】：浙江财经学院;国信证券股份有限公司博士后工作站;
【基金】：中国博士后科学基金项目(批准号:20100471691)的资助
【分类号】：F832.51;F224

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