对冲基金投资策略在中国股票市场运用研究

发布时间：2018-03-20 11:50

本文选题：对冲基金　切入点：投资策略　出处：《首都经济贸易大学》2012年硕士论文　论文类型：学位论文

【摘要】：伴随不断提高的金融市场定价效率以及投资环境的变化，，传统的金融工具已经不能满足投资者的回报需求。对冲基金凭借其多样化的投资策略、专业的投资技术和不同的金融投资工具而受到人们的格外关注，它满足了个人投资者和机构投资者的多元化需求。从对冲基金表现来看，市场上升阶段其收益率明显高于主要市场指数，当市场下跌时其收益波动幅度小于市场指数，可见对冲基金能够有效分散所构建投资组合的市场风险。国外对冲基金已经过几十年的发展并且对于它的研究也比较成熟，而国内的对冲基金刚刚起步。股指期货、融资融券等做空机制的推出为国内本土对冲基金的发展和创新提供了更多的条件。本文运用定量、定性方法研究了对冲基金的主要投资策略在我国股票市场上运用的可行性，从而给国内投资者以借鉴。论文首先介绍了对冲基金相关的基本概念、国内外发展历程和最新特点；其次从多角度研究了对冲基金的投资策略分类及操作；然后将国际对冲基金的投资策略在中国股市上的运用进行案例研究并得出结论；最终对整篇文章做出总结并提出对冲基金在我国发展的局限进而提出改善这些局限的对策建议。
[Abstract]:With the increasing efficiency of financial market pricing and the changing investment environment, traditional financial instruments can no longer meet investors' demand for returns. Professional investment techniques and different financial instruments have attracted special attention. It meets the diversified needs of both individual and institutional investors. From the perspective of hedge fund performance, In the rising stage of the market, the yield is obviously higher than the major market index, and when the market falls, the volatility of the return is smaller than that of the market index. It can be seen that hedge funds can effectively diversify the market risk of their constructed portfolios. Foreign hedge funds have developed for decades and their research on it has been relatively mature, while domestic hedge funds have just started. Stock index futures. The introduction of short-selling mechanism provides more conditions for the development and innovation of domestic hedge funds. This paper uses quantitative and qualitative methods to study the feasibility of applying the main investment strategies of hedge funds in the stock market of China, which can be used for reference by domestic investors. Firstly, the paper introduces the basic concepts of hedge funds. Secondly, the paper studies the classification and operation of hedge fund investment strategy from various angles, and then makes a case study on the application of international hedge fund investment strategy in Chinese stock market and draws a conclusion. Finally, the paper summarizes the limitations of hedge fund development in China and puts forward countermeasures to improve these limitations.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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