基于统计方法构建稳健成长型股票池的实证研究

发布时间：2018-02-23 19:26

本文关键词： 选股模型主成分分析 logistic回归稳定收益　出处：《重庆大学》2013年硕士论文　论文类型：学位论文

【摘要】：半个世纪以来，全世界的证券市场经历了巨大的发展演变，而随着我国经济的逐渐开放，其证券交易事业也逐渐繁荣起来。投资者做为证券市场不可或缺的角色，长期合理的投资收益是保证投资者进行股票市场投资的关键，能否获得有效的投资收益则贯穿于整个投资过程的始末。目前，国内外不乏对于股票方面研究的理论以及实证分析，然而国外的股票投资方法由于政策等原因不适宜我国的证券市场，国内的研究则以股票价格影响因素的分析居多，而有效股票选择方法的研究则较为缺乏。因此，本文拟将利用统计方法提出一套有效的选股分析方法，以帮助投资者快速而有效的从A股市场2000多支股票中选择适于自己投资的股票。要选择有价值的股票进行投资，上市公司的良好运营是股票获得良好收益的保证，即对于公司基本面的分析是必要的。本文以价值投资分析理论为原点，利用基本面分析法对于影响股票波动的因素做了分析与介绍，并从中选取了27个可量化指标建立了以公司评价以及行业评价对指标的上市公司评价体系，然后从该评价体系出发探讨研究选择具有稳定性收益股票建立股票池的方法。本文首先使用R软件对该评价体系进行了主成分分析，按照累积贡献率大于80%的要求，筛选出13个对于该评价体系进行描述的因子。其次，对这13个因子以及上市公司60天内的涨跌幅进行两次logistic回归，在此基础上确定了与股票波动显著相关的5个主成分因子，然后利用这五个主成分建立起的综合因子得分模型进行选股。本文将根据以上分析方法得到的选股模型用于以下四个行业：医药生物、信息服务、农林牧渔、纺织服装，对其中的357家上市公司的选股，选择两种方法对结果进行实证，一是从每个行业选择排名前10的股票进行实证结果分析，二是从每个行业选择两家公司建立股票池进行实证结果分析。通过实证结果发现，这两种结果中，上涨的公司个数均占到选出股票总个数的60%至70%，，并且按照价格比对，也可以获得一定的合理收益。因此，通过该实证结果分析验证了本文提出的选股模型对于选择长期稳定盈利的股票建立股票池的有效性，对于实践应用具有重大意义。
[Abstract]:Over the past half century, the world's securities market has undergone tremendous development and evolution, and with the gradual opening of our country's economy, its securities trading business has gradually flourished. Investors, as an indispensable role in the securities market, A long-term and reasonable return on investment is the key to ensure that investors invest in the stock market, and whether or not to obtain effective investment returns runs through the whole investment process. There is no lack of theoretical and empirical analysis of stock research at home and abroad. However, foreign stock investment methods are not suitable for China's stock market due to policy and other reasons. However, the research on effective stock selection method is scarce. Therefore, this paper proposes a set of effective stock selection analysis methods by using statistical method. To help investors quickly and effectively from the A-share market of more than 2, 000 stocks suitable for their own investment. In order to select valuable stocks for investment, the good operation of listed companies is the guarantee of good returns for stocks, that is, it is necessary to analyze the fundamental aspects of the company. This paper takes the theory of value investment analysis as the origin. This paper analyzes and introduces the factors that affect the stock fluctuation by using the fundamental analysis method, and selects 27 quantifiable indexes to establish the evaluation system of the listed company with the index of the company evaluation and the industry evaluation. Then the method of establishing stock pool with stable return stock is studied from the evaluation system. Firstly, the principal component analysis of the evaluation system is carried out by using R software, according to the requirement of cumulative contribution rate greater than 80%. The 13 factors that describe the evaluation system are screened out. Secondly, the 13 factors and the fluctuation of listed companies within 60 days are analyzed by logistic regression twice. On this basis, the five principal component factors which are significantly related to the volatility of stocks are determined. Then use the five principal components to establish a comprehensive factor score model for stock selection. This paper applies the stock selection model obtained from the above analysis to the following four industries: pharmaceutical biology, information service, agriculture, forestry, herding and fishing, textile and clothing, and chooses two methods to demonstrate the results of the stock selection of 357 listed companies. One is to select the top 10 stocks from each industry to analyze the empirical results, the other is to select two companies from each industry to set up a stock pool for empirical analysis. The number of companies rising accounts for 60% to 70 percent of the total number of stocks selected, and can also make a reasonable return according to the price ratio. The empirical results verify the effectiveness of the stock selection model proposed in this paper for the selection of long-term stable profits of stocks to establish a stock pool, and it is of great significance for practical application.
【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】：F224;F831.51

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