中国股票市场风格投资、联动性和收益率预测

发布时间：2018-01-06 11:08

本文关键词：中国股票市场风格投资、联动性和收益率预测　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：大量研究表明股票市场上存在着诸多市场异象现象,在非有效市场和存在金融异象的理论研究支持下,风格投资开始在全球范围内盛行。对于机构投资者来说,风格投资为其提供了一种有效地进行资产配置和风险管理的方法。随着国内机构投资者的增多以及投资者财富水平和认知能力的提升,风格投资也逐渐得到国内投资者的接受和重视。国外研究表明,风格投资组合的收益率(简称风格收益率)在一定程度上对股票的收益率具有预测作用,本文则试图利用中国A股市场上从2001年至2012年间的股票数据来验证该观点在中国市场上是否成立。结合中国股票市场具有行业轮动现象的实际情况,本文创造性地根据股票所在的行业对股票进行风格的划分,在此基础上运用Fama-MacBeth回归方法,来研究风格收益率对股票收益率的可预测性问题。实证研究发现在国内A股市场上风格收益率对股票收益率具有一定的预测作用。对实证结果进行稳定性检验发现这种预测作用在2001年到2005年这个子区间内不是很显著,而在2006年到2012年这个子区间上是显著的。此外,本文还研究了股票收益率和风格收益率之间的联动性对股票收益率可预测性的影响,研究结果发现当股票收益率和风格收益率之间的联动性越强时,风格收益率对股票收益率的预测效果越好。
[Abstract]:A large number of studies show that there are many market anomalies in the stock market. With the support of the theory of non-efficient market and financial anomalies, style investment is beginning to prevail around the world. Style investment provides it with an effective approach to asset allocation and risk management. With the increase of domestic institutional investors and the improvement of their wealth level and cognitive ability. Style investment has gradually been accepted and valued by domestic investors. Foreign studies show that the return rate of style portfolio (short for style return) to a certain extent has a predictive effect on the return of stocks. This paper tries to use the stock data from 2001 to 2012 in China's A-share market to verify whether this view is valid in the Chinese market. Combined with the actual situation that the Chinese stock market has the phenomenon of industry rotation, this paper creatively divides the style of the stock according to the industry in which the stock is located. On this basis, Fama-MacBeth regression method was used. The empirical study found that the stylistic rate of return has a certain predictive effect on the stock yield in the domestic A-share market. The prediction effect is not significant in the subrange from 2001 to 2005. From 2006 to 2012, it is significant. In addition, this paper studies the relationship between stock return and style return on the predictability of stock return. The results show that the stronger the linkage between the stock return and the style return, the better the forecasting effect of the style return on the stock return.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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