我国A股市场行业轮动规律探讨研究

发布时间：2018-10-25 15:07

【摘要】：近年来，我国股市的市场化水平逐步提升，股市与实体经济间的关联性增强，股市成熟度与美国日趋相近。参照美国股市投资经验，越来越多的国内投资者开始从多种角度对股市规律进行定量化研究。其中，行业轮动规律自2004年美林证券提出投资时钟理论以来，逐渐成为一个重要的研究热点。本文通过总结当前国内外行业轮动规律研究现状，尝试应用聚类分析与小波分析结合的方法对我国2000年以来各行业间的轮动规律进行探索性研究。研究结果显示，我国股市在2008年金融危机前后发生了明显的变化。2008年前适用于我国股市行业发展的规律变得模糊。基于这一分析结果，本文选取2008年10月10日至2013年1月16日期间，申银万国行业一级分类指数日收盘价，作为行业轮动规律研究基础。通过分析小波分解后各层级细节系数的周期性，确定了我国23个行业均存在多种长度的周期，其中短时周期与工作日周期、月度周期等基本一致。在此基础上，本文结合聚类分析，对小波分解得到的近似系数，即行业指数日收盘价序列的主要趋势序列进行了行业轮动研究。研究发现，，在聚类得到的3类行业内，仅有有色金属与商用贸易、机械设备两个行业之间表现出了较为稳定的轮动规律。而在3类行业间整体轮动规律的研究中，发现以2009年5月为界限，三类行业在拐点后出现了极具差异性的变化，因此本文认为股市存在大类行业板块间的轮动规律。
[Abstract]:In recent years, the marketization level of China's stock market has been gradually improved, the relationship between stock market and real economy has been strengthened, and the maturity of stock market has become closer and closer to that of the United States. Referring to U.S. stock market investment experience, more and more domestic investors begin to quantify the stock market law from various angles. Since Merrill Lynch put forward the investment clock theory in 2004, the law of industry rotation has gradually become an important research hotspot. In this paper, by summarizing the current research situation of wheel movement law in domestic and foreign industries, we try to apply the method of cluster analysis and wavelet analysis to explore the rotation law of different industries in China since 2000. The results show that the stock market of our country has changed obviously before and after the financial crisis of 2008, and the rules applicable to the development of the stock market industry before 2008 become blurred. Based on the results of this analysis, this paper selects the closing price of Shenyin Wanguo industry first class index from October 10, 2008 to January 16, 2013, as the basis of the research on the law of industry rotation. By analyzing the periodicity of the detail coefficients of each level after wavelet decomposition, it is determined that there are many kinds of cycles in 23 industries in China, in which the short period is consistent with the working day cycle and the monthly cycle and so on. On this basis, combined with cluster analysis, the approximate coefficients obtained by wavelet decomposition, that is, the main trend series of industry index daily closing price series, are studied in this paper. It is found that only non-ferrous metals and commercial trade, machinery and equipment show a relatively stable rotation rule in the three kinds of industries. In the study of the law of the whole wheel movement among the three industries, it is found that after the inflection point, the three kinds of industries have a very different change, so this paper thinks that there exists the law of rotation among the sectors of a large class of industries in the stock market.
【学位授予单位】：北京工商大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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