融资融券交易下的新投资策略研究

发布时间：2017-12-31 01:15

本文关键词：融资融券交易下的新投资策略研究　出处：《重庆大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文对利用融资融券交易的证券投资策略进行了研究。在一系列假设条件下构建了Markov链模型作为股票价格的预测模型，建立了一个新的风险度量函数CRNC，即在没有保证金追缴通知的条件下达到预期收益这一条件事件的概率来控制投资者面临的风险。并对中国股票市场上仅用现金作抵押的融资融券交易进行了检验，结果表明此策略能获得高收益，体现了新策略的优越性。本文选取了上海证券交易所（SSE）上市180只股票中的符合要求的155只股票进行研究，结果表明，新策略的投资收益都是比较高的，，最优策略的实际月收益率益达到了6.02%。投资者的收益与预期收益率正相关，与风险度量值CRNC负相关，较大收益率对应的初始保证金比例维持在60%-70%这一区间水平。投资者根据实际情况选择预期收益率和风险控制水平，体现了新策略的动态灵活性。
[Abstract]:In this paper, the securities investment strategy using margin trading is studied. Under a series of assumptions, the Markov chain model is constructed as the stock price prediction model. A new risk measurement function, CRNC, is established. That is, the probability of reaching the expected return under the condition of no margin recovery notice to control the risk faced by investors. The paper also tests the margin trading with only cash as collateral in Chinese stock market. . The results show that this strategy can achieve high returns, which reflects the superiority of the new strategy. In this paper, 155 stocks of 180 stocks listed on Shanghai Stock Exchange are selected for study. The results show that the investment returns of the new strategy are all relatively high. The real monthly rate of return of the optimal strategy reaches 6.02. The return of investors is positively correlated with the expected rate of return, and negatively correlated with the risk measure CRNC. The initial margin ratio of larger yield is kept in the range of 60-70%. According to the actual situation, investors choose the expected rate of return and risk control level, which reflects the dynamic flexibility of the new strategy.
【学位授予单位】：重庆大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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