基于“投资时钟”视角的中国A股积极行业配置模型研究

发布时间：2018-01-18 16:00

本文关键词：基于“投资时钟”视角的中国A股积极行业配置模型研究　出处：《东北财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：自20世纪90年代以来,国际金融市场在短短二十年内发生了一系列重大事件：1994年墨西哥金融危机、1998年东南亚金融危机、2000年纳斯达克网络经济泡沫破裂以及2008年由美国次贷危机引发的全球金融危机。受经济和金融危机的影响,各国先后遭受了不同程度的经济震荡,我国同样也未能免受其害。尤其2008年的美国次贷危机重创了我国经济,使我国的经济增长出现了大幅的下滑。同时,我国股票市场也经历了剧烈的震动,从6124点的最高点急剧下跌至1815点,缩水幅度高达70%。目前,随着各项救市政策的出台和实施,我国的经济形势正逐步好转并趋于回暖,经历着从严重衰退到稳步复苏的过程。那么,面对经济形势的快速变化,如何在经济周期的交替中把握股票市场的变动,如何在股市的涨跌波动中把握各个行业变动的规律,做好行业配置就成了一个十分重要的问题。本文试图从美林证券“投资时钟”理论的视角上来解决这一个问题,通过构建适用于我国A股市场积极行业配置模型,来为广大投资者提供较为有效的投资指南。本文在阐述了投资时钟模型及行业配置理论的基础上,首先,对我国的经济周期进行了划分,并对我国经济增长与股票市场之间的关系进行了实证检验,发现自2005年6月完成股权分置改革后,我国的股价指数与经济增长呈现出较为显著的正相关关系和协整关系,这为下文中根据经济周期进行股票行业配置提供了逻辑基础。其次,分别从股票市场层面和实体经济层面进行实证研究,在股票市场中各行业在不同的经济阶段中的收益表现具有较大差异,存在较为明显的行业轮动现象；在实体经济中,通过量化计算各行业对GDP及利率的敏感性大小,进一步明确行业特性,发现和验证了行业变动顺序和传导机制；然后据此构造我国A股市场的“投资时钟”模型。再次,根据前文分析,构建适用于我国A股市场的积极行业配置模型,并在考虑我国已经启动融资融券交易的市场背景之下,相应地在投资模型中引入做空机制。通过实证检验发现,我国A股市场的积极行业配置模型能够较为有效地帮助投资者正确选择股票行业,同时,随着做空机制的引入,模型能够有效提高投资收益,使投资者获得获得超过市场大盘的更高的超额回报。最后,根据中国股市存在的问题,针对我国股票市场的投资者提出一些投资建议,有效指导其投资行为。本文的创新点主要有以下三点：第一,采用“投资时钟”模型的视角,将经济周期与行业配置相结合进行研究。我国对于行业配置领域的研究主要集中在行业贡献方面的测定和行业动量策略方面,而将经济周期与行业配置联系起来的研究较少。但众所周知,影响资产收益最为核心的因素仍然是经济层面所决定的基本面因素,因此,根据经济周期进行行业配置研究是十分必要的。第二,在行业配置上侧重量化研究。在国内已有的研究中,关于在不同经济阶段中的行业轮动规律,从理论层面上的定性分析较多,而从实证层面的定量研究非常少。本文着重量化研究,对不同经济阶段各行业的收益表现、各个行业对GDP的敏感性、对利率的敏感性都进行了定量检测,划分出GDP敏感行业和利率敏感行业。这对深入揭示行业间传导机制和轮动规律具有重要作用。第三,引入做空机制,构建了积极行业配置模型。2010年3月31日,我国融资融券业务正式启动,为市场增加了做空机制。根据这一市场背景,本文在投资模型中引入做空机制,使得模型更贴近中国证券市场的现状,以一种更加适应中国市场的视角,关注市场波动周期中的行业配置问题。
[Abstract]:Since 1990s, the international financial market has undergone a series of major events in a short period of twenty years: 1994 Mexico financial crisis, Southeast Asian financial crisis in 1998, 2000, the NASDAQ Internet economy bubble burst and the 2008 U.S. subprime mortgage crisis triggered by the global financial crisis. Affected by the economic and financial crisis, countries have suffered different degrees of economic shocks in our country, also not from them. Especially in 2008 the U.S. subprime mortgage crisis hit the economy of our country, China's economic growth has declined drastically. At the same time, China's stock market has also experienced a severe shock, from the highest point of 6124 points fell sharply to 1815, has shrunk by up to 70%. at present, with the introduction of bailout policies and the implementation of China's economic situation is gradually improved and tends to pick up, experiencing a steady recovery from the severe recession Process.
So, faced with the rapid changes in the economic situation, how to grasp the stock market in the alternate economic cycle of changes in the industry, how to grasp the various changes in the laws in the price fluctuations in the stock market, good industry configuration has become a very important problem. The paper tries to solve this problem from the Merrill Lynch Investment clock from the perspective of the theory, by constructing suitable allocation model of China A stock market positive industry, to provide a more effective investment guide for the majority of investors.
This paper describes the basic model and configuration of industry investment clock theory, first of all, on China's economic cycle has been divided, and the relationship between China's economic growth and stock market empirically, found that since June 2005 after the reform of non tradable shares of stock price index and economic growth of our country presents is a significant positive correlation and cointegration relationship, this is the following according to the economic cycle of the stock industry provides a logical basis for allocation. Secondly, respectively for empirical research from the stock market level and the level of the real economy, the stock market in various industries in different stages of the economic benefits of significant differences is obvious sector rotation; in the real economy, through quantitative calculation of sensitivity of the various sectors of the GDP and the interest rate, to further clarify the industry characteristics, discovery and validation of the industry Change order and transmission mechanism; then we construct the A stock market in China "investment clock" model. Thirdly, according to the above analysis, the positive sector allocation model applicable to the construction of A stock market in China, and in consideration of China's margin trading market has been launched under the background of the introduction of the short mechanism in investment model. Through the empirical study, positive industry allocation model of China A stock market can effectively help investors choose the right stock industry, at the same time, with the introduction of the short mechanism, the model can effectively improve the return on investment, to enable investors to get access to more than the market has a higher excess return. Finally, according to the Chinese of the existence of the stock market the problem, according to China's stock market investors to put forward some suggestions, effectively guide the investment behavior.
The main innovation points of this paper are the following three points:
First, the "investment clock" model from the perspective of the economic cycle and industry configuration combination were studied. And determination of industry momentum strategy research for configuration industry in China mainly focused on the contribution of the industry, the economic cycle research and industry configuration linked less. But as everyone knows, factors that affect the return on assets the core is still the fundamental level is determined by economic factors, therefore, according to the economic cycle of the industry configuration is very necessary.
Second, the weight of the upper configuration in the industry. In the domestic researches, in different economic stages in wheeled industry rules, more analysis from qualitative theory, from the quantitative empirical research is very few. This paper weight research on different stages of economic returns by industry and the sensitivity of each industry to GDP, the interest rate sensitivity of quantitative detection, divided into GDP sensitive industries and interest rate sensitive industries. This industry for revealing the conduction mechanism and the rotation law plays an important role.
Third, the introduction of the short mechanism, build the model of.2010 positive industry allocation in March 31st, China officially launched the margin trading business, increase the short selling mechanism for the market. According to the market background, the introduction of the short mechanism in the investment model, which makes the model more close to the status quo of China securities market, with a more adapt to the market Chinese from the perspective of allocation of attention in the industry market fluctuations.

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

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