中国股市行业动量效应及其投资策略研究

发布时间：2018-04-27 00:18

本文选题：动量效应 + 行业动量　；参考：《复旦大学》2012年硕士论文

【摘要】：动量效应是行为金融研究的一个热点问题,并且对投资者也是一种主动管理的投资方式。目前的中国股市还并不是很有效,从行为金融的角度来进行量化研究具有重要的意义。本文根据申银万国研究所制定的一级行业分类指数,从行业动量的角度对2001年-2009年的中国股市进行了研究。研究结果表明,中国股市在短中期存在明显的行业动量效应,其中部分投资组合能获得显著的超额收益,具有较强的投资参考意义。分阶段检验结果表明,牛市的行业动量效应明显大于熊市的行业动量效应。此外,本文从行为金融理论的角度对行业动量效应的来源进行了分析,考察了我国股市投资者结构的变迁,以及各类投资者的行为偏差。投资者的行为偏差对行业动量收益的表现形式具有明显的影响。在对行业分类考察之后,我们发现周期类行业存在较为明显的行业动量效应,而非周期类行业则不明显。最后,本文通过对行业动量实际交易策略进行实证检验,结果表明行业动量效应投资策略可以获得明显的超额收益,即使考虑到交易费用和卖空限制,只买入赢家组合的投资策略依然可以获得较高的超额收益。这说明行业动量投资策略具有明显的实际操作意义。通过案例对目前股市的一些投资产品的投资策略和业绩进行分析,结果也可以从侧面证明动量投资策略的有效性。
[Abstract]:The momentum effect is a hot issue in behavioral finance, and it is also an active investment method for investors. The current Chinese stock market is not very effective. It is of great significance to carry out quantitative research from the perspective of behavioral finance.
Based on the first level industry classification index made by the Shenyin Wanguo Institute, this paper studies the Chinese stock market in the year of -2009 from the perspective of the momentum of the industry in 2001. The results show that there is a significant industry momentum effect in the short and medium term of China's stock market, in which some of the investment portfolios can gain significant excess returns and have a strong investment reference. The results show that the momentum effect of bull market is obviously greater than that of bear market.
In addition, this paper analyzes the source of the momentum effect of the industry from the perspective of behavioral financial theory, examines the changes in the structure of investors in China's stock market, and the behavioral deviations of various investors. The behavior deviation of investors has a significant influence on the form of the momentum income in the industry. There is obvious industry momentum effect in cyclical industries, but not in cyclical industries.
Finally, this paper empirically tests the actual trading strategy of the industry momentum. The results show that the industry momentum effect investment strategy can obtain obvious excess returns. Even considering the transaction cost and short selling limit, the investment strategy that only buys the winners can still obtain higher excess returns. This shows the industry momentum investment strategy. It has obvious practical significance. Through the analysis of the investment strategy and performance of some investment products in the stock market, the results can also prove the effectiveness of the momentum investment strategy from the side.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】