基于经济周期的股票行业选择与配置研究

发布时间：2018-03-14 07:20

本文选题：经济周期　切入点：行业选择　出处：《南京航空航天大学》2012年硕士论文　论文类型：学位论文

【摘要】：近年来，随着中国经济的迅速发展，国民收入水平不断提高，越来越多的人开始投资于股票市场。股票指数不断地随着宏观经济形势的变化跌宕起伏，很多投资者缺乏对股票投资的了解，一味地追求收益，盲目选股，最终以亏损告终。目前，大量学者分别在经济周期、股票投资行业选择和投资组合方面进行了深入的研究，但是，将这三个方面相结合进行系统的股票投资组合选择研究却较少，因此结合这三个方面进行了系统性的研究，为投资者制定出有价值的股票投资组合选择策略。运用定性分析和定量分析相结合的方法，在前人理论研究的基础之上，结合中国宏观经济和股票市场的实际情况，构建模型划分经济周期、通过实证分析出各经济周期阶段的可选行业并建立股票投资组合选择模型。首先，从中国宏观经济的实际出发，，根据美林投资时钟理论，选择通货膨胀、货币供应量和GDP增长三个指标，通过理论分析，得到利用三个指标划分经济周期及衰退、复苏、过热和滞胀四个阶段的方法，划分从2002年2月到2011年6月我国宏观经济运行周期及各个阶段，并分析各个阶段的可选行业，得到经济周期行业选择模型——ISM模型，该模型是一个纯理论模型。其次，根据中证指数的行业分类，考查2002年2月到2011年6月期间25个二级行业的收益率情况，选择出在经济周期各阶段中的可选行业，所得结果与ISM模型中的可选行业基本一致，也符合美林投资时钟理论。最后，分析投资者在中国股市进行股票投资的各种限制和约束，对马柯维茨的均值方差模型进行改进，提出带有约束的投资组合选择模型，并进行选股，实证研究表明，模型不但有效，而且先选择行业再选择投资组合的股票选择策略还能在保证收益的情况下降低风险。
[Abstract]:In recent years, with the rapid development of China's economy, the level of national income has been rising, and more and more people have begun to invest in the stock market. Many investors lack understanding of stock investment, blindly pursue returns, blindly select stocks, and end up losing money. At present, a large number of scholars have conducted in-depth research on the economic cycle, stock investment industry choice and portfolio, respectively. However, there are few systematic studies on stock portfolio selection in combination with these three aspects. Therefore, a systematic study is carried out on these three aspects to formulate valuable stock portfolio selection strategies for investors. By combining qualitative analysis with quantitative analysis, on the basis of previous theoretical research, combining the actual situation of China's macro economy and stock market, this paper constructs a model to divide the economic cycle. Through the empirical analysis of the various economic cycle stages of the optional industries and the establishment of stock portfolio selection model. First of all, from the reality of China's macroeconomic, according to Merrill Lynch investment clock theory, select inflation, money supply and GDP growth three indicators, through theoretical analysis, get the use of the three indicators to divide the economic cycle and recession, recovery. The four stages of overheating and stagflation are divided into four stages: from February 2002 to June 2011, the operation cycles and stages of China's macro-economy are divided, and the alternative industries in each stage are analyzed, and the industry selection model of the economic cycle, ISM model, is obtained. The model is a pure theoretical model. Secondly, according to the industry classification of the index, the paper examines the return rate of 25 secondary industries from February 2002 to June 2011, and selects the alternative industries in each stage of the economic cycle. The results are consistent with the alternative industries in the ISM model and the Merrill Lynch investment clock theory. Finally, this paper analyzes the restrictions and constraints of investors' investment in Chinese stock market, improves Markowitz's mean-variance model, puts forward a portfolio selection model with constraints, and makes stock selection. The model is not only effective, but also can reduce the risk by selecting the industry and then the investment portfolio.
【学位授予单位】：南京航空航天大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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