宏观经济波动下的股票投资项目风险管理研究

发布时间：2018-03-30 07:10

本文选题：股票投资项目　切入点：系统性风险　出处：《北京邮电大学》2012年硕士论文

【摘要】：股票市场是宏观经济发展状况的反映,具有宏观经济“晴雨表”的功能,而股票投资始终面临由于经济周期因素形成的系统性风险,同时,股票投资风险的识别和管理始终是现代金融研究的一个重要领域。本文研究在宏观经济波动的情况下,识别股票投资面临的风险,并依据各行业与经济周期的敏感性,根据投资组合理论和中国宏观经济发展的趋势,提出了以行业和产品同类为基础,进行股票投资组合,管理股票投资风险的思路；同时,以2006-2010年为研究期间,选择煤炭类公司组合、稀有金属类公司组合、医药行业组合以及上述组合的简单平均组合和上证综合指数为研究样本,分别对上述样本的股价变化特征、不同持有期间收益率的变化、p值、风险性质、Sharp指数等进行横向比较。研究结果表明：煤炭类公司的组合涨幅最高,其次是混合组合；在国家实施宽松的政策期间,煤炭类公司组合和稀有金属公司组合的涨幅远高于其余组合,投资者的投资行为发生了重大变化；作为周期型行业的煤炭类公司投资组合业绩最佳,其次是混合组合；持有期间对投资组合收益率、风险性质以及组合投资评价的结果均产生重要影响。上述研究表明,通过行业经济周期的敏感性,并依据各行业对货币政策刺激的反映和该行业在未来国家经济发展中的基础作用,构建股票投资组合,进行风险控制是可行的、有效的。
[Abstract]:The stock market is a reflection of macroeconomic development and has the function of "barometer" of macro-economy, while stock investment is always faced with systemic risks caused by economic cycle factors, at the same time, Stock investment risk identification and management has always been an important field of modern financial research. This paper studies the risk of stock investment under the condition of macroeconomic fluctuation, and according to the sensitivity of various industries and economic cycles, according to the portfolio theory and the trend of macroeconomic development in China. This paper puts forward the idea of carrying out stock portfolio and managing stock investment risk on the basis of the same kind of industry and products, and taking 2006-2010 as the research period, choosing coal company portfolio, rare metal company portfolio, etc. The pharmaceutical industry portfolio, the simple average combination of the above portfolio and the Shanghai Composite Index are the study samples. The change characteristics of the stock price, the change of the yield of the different holding period and the value of the return during the different holding period are respectively studied. The risk nature of the Sharp index is compared horizontally. The results show that coal companies have the highest increase in portfolio, followed by mixed ones; during the implementation of the country's loose policy, The increase of coal company portfolio and rare metal company portfolio is much higher than that of the other ones, and the investor's investment behavior has changed greatly; as a cyclical industry, coal company portfolio performance is the best, followed by mixed portfolio; The period of holding has a significant impact on the return on the portfolio, the nature of the risk, and the results of the portfolio evaluation. It is feasible and effective to construct the stock portfolio and control the risk according to the reflection of the monetary policy stimulus and the basic function of the industry in the future national economic development.
【学位授予单位】：北京邮电大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F124.8;F224

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