中国股票市场的行业配置研究

发布时间：2018-12-30 21:33

【摘要】：行业配置策略是在动态分析股票行业因素基础上,根据时段选择最优行业,不断改变资产组合中的行业成分,以获得超额收益的一种资产配置方式。行业配置策略作为一种积极的股票投资策略,强调从时间跨度上观察行业间的收益变化,实时调整股票组合中不同行业的比例,是一个动态和长期的配置过程。行业配置的研究一直以来都是实践先于理论。实践部门中行业配置的应用无处不在,反衬到理论研究中却是寥寥无几。巨大反差的背后是行业配置应用的广阔前景和行业配置理论体系的尴尬地位。行业配置属于资产配置的一部分,但研究方法差异较大。资产配置的研究内容更多集中在微观金融市场,行业配置却需要集宏观经济、中观行业和微观市场于一体,难度可见一斑。本文在借鉴前人研究基础上,尝试性地融合宏观方法和微观方法进行行业配置研究。文章的前半部分整理行业配置相关文献,包括宏观的经济周期理论、中观的产业演进理论和微观的投资组合理论三个层面,并结合中国经济特性构建出行业配置的理论框架。而后分析A股市场的行业表现及背后机理,从中长期和短期两个时间跨度提出相应的策略选择。文章的后半部分采用实证研究,验证中长期策略和短期策略的施行细节。,中长期行业配置采用基于经济周期和产业演进的配置策略,通过收益和风险的实证分析,得出中长期配置应遵从的三个理念：价值投资、顺势而为、控制风险。短期行业配置采用基于领滞关系的配置策略,通过Granger因果检验和VAR脉冲响应分析方法,得出短期行业配置应当注意的三个要点：重点关注的指标行业、领滞关系强弱的参照作用、领滞关系的作用时间。
[Abstract]:On the basis of dynamic analysis of stock industry factors, industry allocation strategy is a kind of asset allocation method, which selects the optimal industry according to the period of time, and constantly changes the industry component in the asset portfolio to obtain excess return. As an active stock investment strategy, the industry allocation strategy emphasizes that it is a dynamic and long-term process to observe the change of the industry income from the time span and to adjust the proportion of different industries in the stock portfolio in real time. Industry allocation research has always been practice before theory. The application of industry configuration in practice department is ubiquitous, but the contrast to theoretical research is very few. Behind the huge contrast is the broad prospect of industry allocation application and the awkward position of industry allocation theory system. Industry allocation is a part of asset allocation, but the research method is quite different. The research content of asset allocation is more concentrated in the micro financial market, but the industry allocation needs to integrate the macro economy, the meso industry and the micro market, so the difficulty can be seen. On the basis of previous studies, this paper tries to combine macro and micro methods to study industry allocation. The first part of the article collates the relevant documents of industry allocation, including the macro-economic cycle theory, the meso-industrial evolution theory and the micro-investment portfolio theory, and constructs the theoretical framework of industry allocation combined with the characteristics of China's economy. Then it analyzes the industry performance and the underlying mechanism of A-share market, and puts forward the corresponding strategy choice from the two time span of medium-and short-term. The second half of the article uses empirical research to verify the implementation details of medium- and long-term strategy and short-term strategy. Medium and long term industry allocation adopts allocation strategy based on economic cycle and industry evolution, through the empirical analysis of income and risk. Three concepts should be followed in medium-long-term allocation: value investment, trend adaptation and risk control. The short-term industry configuration adopts the collocation strategy based on the relationship between lead and delay. Through the Granger causality test and the VAR impulse response analysis method, three key points should be paid attention to in the short-term industry allocation: the index industry that is focused on. The reference function of the relationship of collar lag and the time of action of the relationship of collar lag.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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