基于交易策略的中国股市长短期风险收益关系实证研究

发布时间：2018-01-01 01:05

本文关键词：基于交易策略的中国股市长短期风险收益关系实证研究　出处：《西南财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：目前,中国股市正蓬勃发展,在这样关键的时刻,对股票市场风险收益关系的实证研究尤为重要,因为风险收益关系是金融界的基本问题。自资本资产模型用严谨的数学推导告诉我们风险与收益是正向线性关系以来,国内外出色的学者从未被其复杂的数学推导和诺贝尔奖的地位所震慑,相反,他们做了很多基础但是很有意义的工作来验证均值一方差模型下的风险收益关系,令人欣慰的是他们取得了突破,并以详实的数据,极富逻辑性地证明了逆向风险收益关系存在的可能性。对这一关系的研究能告诉我们中国股市的运行特征,能告诉我们股市众多投资者的分布情况(短期投机者与长期投资者的数量比较),能告诉我们投资者在做投资决策的时候是否是理性的,能告诉我们投资者的风险态度,能让我们理解中国股市的运行规律,能为我们的监管部门提供制定法律法规政策的依据等,这些都是极具理论和现实意义的。在这篇论文中,我将对引入涨跌停板制度后的中国股市的风险收益关系进行研究。首先阐述现有的国内外关于股市风险收益关系的相关理论和文献,然后以中国沪市A股上市公司为研究对象,分析在引入涨跌停板制度之后的中国股市长短期风险与收益的关系。基于国外学者提出的组合构造方法和国内学者应用此方法对中国股市的实证研究,我们结合涨跌停制度,并考虑到长短期风险与收益关系的可能不同,对模型加以改进使其更贴近中国国情。首先选择沪市A股作为研究对象,考察区间为1997年1月1日至2012年12月31日,选择在1997年1月1日之前已经在上海证券交易所上市的股票作为样本股,然后利用马科维茨的均值方差模型找出历史风险最小股票组合和风险最大股票组合(给定时间间隔,给定抽样数目,给定权重约束),持有两种组合一定时间(三个月或者一个季度),一定时期后,重复以上过程,最后得到在过去时期风险最小和风险最大的股票组合收益时间序列,比较两个收益时间序列的均值、标准差、系统性风险。为避免一次模拟无法进行统计检验,对以上过程模拟100次,并进行配对双样本T检验。通过本文的实证研究,我们的结论是：从短期来看,中国股市的风险收益关系存在不确定性,既不像CAPM模型推导的正相关,也不像赵伟、汪锐所说的负相关,可能是赵伟、汪锐的样本选择是1994年1月至2004年12月,这期间中国实行了涨跌停板制度,而未考虑这一制度变化的实证结论是值得怀疑的。关于短期非负相关,我们的解释是：在短期,在以月度为时间间隔的情况下,股市未表现出如赵伟、汪锐所说的负相关,是因为涨跌停板制度抑制了股市的投机,遏制了过度反应现象,在一定程度上改变了中国股市收益风险关系,使股市的有效性增强,也说明中国股市正在逐渐走向成熟。至于为什么表现出不确定性,我们认为主要有两个原因：其一,行为金融学告诉我们投资者的风险态度是不确定的。当牛市来临的时候,股价疯涨,投资者却完全不顾高得离谱的股价和接下来可能大跌的风险,他们依然会选择买入股票,这个时候他们表现出风险偏好,而当熊市来临时,他们又倾向投资比较安全的资产,因此表现出风险规避。总的来说,投资者的风险态度随着市场行情的好坏而变化。另外,投资者对不同的股票——盈利与亏损表现出不同的风险态度。当股票盈利时表现出风险规避,当股票亏损时表现出风险偏好。投资者风险态度的转变的宏观表现就是股市风险收益关系的不确定性。尤其是在短期,当股市大部分投资者表现出风险规避时,股市的风险收益是正相关的,当股市大部分投资者表现出风险偏好时,股市的风险收益是负相关的。其二,涨跌停制度的引入在一定程度上促进了投资者的理性投资,但是这是一个漫长的过程,中国股市仍具较强的投机性。有不少学者通过研究发现中国股市具有很强的投机性(从短期来看)。短期投机者看似是在追逐高风险高收益,实际上造成了逆向的风险收益关系。这就是波动反馈效应理论：波动率对当前风险溢价有负向影响。但是,股市当中也存在价值投资者,他们不会为短期的波动所干扰。而股市短期的风险与收益的不确定性正是短期投机者与长期投资者的博弈结果。有时候疯狂战胜了理智,则股市的风险关系表现为逆向风险收益关系,而另一些时候理智占据了上风,则股市的风险收益关系表现为正向风险收益关系。从长期来看,股市最终是会回归理性的,长期的价值投资者必将战胜短期的投机者,这也正是本文的研究结论之一。风险—收益权衡效应描述了长期投资者的投资行为,波动反馈效应则在短期交易者身上体现得比较明显,而两种效应间的强弱对比决定了证券市场总的风险收益关系。本文的贡献：(1)首先是研究方法上的贡献。几乎所有对股市风险收益关系的实证研究都是基于计量模型,基于CAPM模型的计量分析往往容易导致“联合检验”问题,因为检验CAPM模型需要在有效市场的环境下进行,市场有效是CAPM模型的一个重要假设；而检验市场有效须有一个正确的资产定价模型。这就会产生一个问题,CAPM模型和市场的有效性必须同时检验,即“联合检验”问题。而本文的研究方法采用的是构造一种交易策略或者交易规则来检验风险收益的关系,这样的好处是避开计量模型的苛刻假设条件,也有效地回避了“联合检验”问题。(2)其次本论文明确考虑中国股市的发展状况和发展特征,以避免“拿来主义”错误。中国股市有其独特的地方,如涨跌停板制度。许多学者的研究也证实了涨跌停板制度改变了投资者的投资行为,抑制了股市的投机氛围,从而改变了股市风险收益关系。(3)最后本文并没有将研究局限于某固定数量的股票,也不局限与分析特定时间间隔的收益风险关系,而是充分考虑三个因素(抽样数量、权重约束、时间间隔)对风险收益关系的可能影响,这样研究结论更加的完整一体。其中最突出的是考虑了长期与短期的不同效应,因为股市的长期与短期投资策略显然是不一样的,投资者在不同时间跨度的行为模式不同导致了风险收益关系的变化,最终关系则取决于两者力量的此消彼长。
[Abstract]:At present, Chinese stock market is booming, at this critical moment, the empirical research on the relationship between stock market risk and return is particularly important, because the risk return relationship is a basic problem in the financial sector. The rigorous mathematical derivation from the capital assets model tells us the risks and benefits are positive linear relationship between the domestic and foreign scholars has never been good the mathematical derivation of the complex and the Nobel prize for the position of shock and awe, on the contrary, they do a lot of basic but meaningful work to verify the relationship between return and risk mean variance model, thankfully they made a breakthrough with full and accurate data, a logic to prove the possibility of the existence of the relationship between reverse risk return. Research on this relationship can tell us Chinese stock market characteristics, can tell us the distribution of stock market investors (short-term speculators and long The number of investors, the comparison period) when we can tell investors in the investment decision-making is rational, can tell us the risk attitude of investors, operating rules can make us understand the China stock market, can provide the basis for the formulation of laws and regulations policy our authorities, which are of great theoretical and practical significance to the.
In this thesis, I will study the introduction of price limits after China stock market risk return relationship. Firstly, the existing domestic and foreign theories about the relationship between risk and return of stock market and the literature, and then to Chinese Shanghai A shares listed companies as the research object, analysis of the relationship between Chinese stock market risk and return in the long term after the introduction of the price limits.
An empirical study of foreign scholars and domestic scholars combined construction method of using this method to predict the stock market based on China, we combine the price limit system, and taking into account the relationship between risk and return period may be different, the model is improved to make it more close to the China conditions. The first choice of Shanghai A stock market as the research object, the study interval for January 1, 1997 to December 31, 2012, in January 1, 1997 before the shares on the Shanghai stock exchange as samples, and then find out the history of the minimum risk stock portfolio and risk the largest stock portfolio by Markowitz's mean variance model (a given time interval, given the number of samples of a given weight restriction), holding two combinations for a certain period of time (three months or one quarter), after a certain period of time, repeat the above process, finally obtained in the past period of minimum risk and risk the largest stock A combined profit time series is used to compare the mean, standard deviation and systemic risk of the two time series. In order to avoid the statistical test of one simulation, the above process is simulated for 100 times, and a paired double sample T test is conducted.
Through the empirical research, we conclude that in the short term, the uncertainty of stock market risk return relationship China, neither CAPM model is relevant, unlike Zhao Wei, Wang Rui said negative correlation, it could be Zhao Wei, Wang Rui of sample selection is from January 1994 to December 2004, during which Chinese implementation the price limit system, without considering the empirical results of this regime change is questionable. A short-term non negative correlation, our interpretation is: in the short term, in the monthly time intervals, the stock market did not show such as Zhao Wei, Wang Rui said negative correlation, because of price limits suppress the stock market speculation, curb the overreaction phenomenon, changed the relationship between return and risk Chinese stock market to a certain extent, the effectiveness of the stock market increased, also shows that the Chinese stock market is gradually maturing.
As for why show uncertainty, we believe that there are two main reasons: first, behavioral finance tells us the risk attitude of investors is uncertain. When the bull market, the price skyrocketing, investors are ignoring the ridiculously high price and then can crash risk, they would still choose to buy stocks this time, they showed the risk preference, and when the bear comes, they tend to invest in relatively safe assets, thus showing a risk aversion. In general, the investor's risk attitude changes with market trends. In addition, different investors of different stocks in the profit and loss performance of risk attitude. When the stock earnings showed risk aversion, when stock losses showed the risk preference. The macroscopic change risk attitude of investors is the stock market risk return relationship The uncertainty. Especially when the stock market in the short term, most investors demonstrated risk aversion, the risk of the stock market return is positively related to the stock market, when most investors showed risk preference, the risk of the stock market return is negatively related. Secondly, the introduction of price limit system to a certain extent, promote the rational investment of investors. But this is a long process, China stock market remains strong speculative. Many scholars have found that China stock market is very speculative through research (in the short term). The short-term speculators seem to be in pursuit of high risk high return, actually caused the risk return relationship in reverse. This is the volatility feedback effect theory the current volatility risk premium is negative. However, the stock market also exist among value investors, they will not interfere with short-term fluctuations. While the stock market short-term risk and return The uncertainty is the game results of short-term speculators and long-term investors. Sometimes crazy wins, then the risk of the stock market in relation to reverse relationship between risk and return, and sometimes the reason prevailed, the stock market risk return relationship showed positive risk return relationship.
In the long term, the stock market will eventually return to rational, long-term value investors will overcome short-term speculators, which is also one of the conclusions of this study. The risk return trade-off effect describes the investment behavior of long-term investors, volatility feedback effect in short-term traders who reflect more obvious, and contrast two kinds of effects which determine the relationship between stock market total risk return.
The contribution of this paper: (1) the first is the research method. The contribution of almost all of the benefits and risks of the stock market empirical research is based on the econometric model, quantitative analysis of the CAPM model tends to lead to "joint inspection" problem based on CAPM model to test because of the efficient market environment, the market is an effective an important assumption of the CAPM model; and testing the market efficiency must have a correct asset pricing model. This will be a problem, the validity of CAPM model and the market must also test, namely "joint inspection". And the research methods in this paper is used in relation to construct a trading strategy or trading rules test the risk return, this advantage is to avoid the econometric model to harsh assumptions, but also effectively avoid the "joint inspection". (2) the dissertation explicitly consider Chinese stock market development Development situation and development characteristics, in order to avoid the "copycat" mistakes. Have their own unique place China stock market, such as price limit system. Many scholars have confirmed that price limits changed the investment behavior of investors, suppress the stock market speculation atmosphere, thus changing the relationship between risk and return of stock market (3) at the end of this paper. Is not limited to a fixed number of shares, is not limited to the relationship between return and risk analysis and specific time interval, but considering the three factors (sample number, weight constraint, time interval) may affect the risk return relationship, this research conclusion one more. One of the most prominent is considered. The different effects of long-term and short-term, because the stock market's long-term and short-term investment strategy is obviously not the same, the investors in different time span different patterns of behavior leads to the risk return relationship The ultimate relationship depends on the change of the strength of the two.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】