中国股市异动股票的统计研究

发布时间：2019-05-07 23:08

【摘要】：随着我国经济的快速发展,中国股市的发展也日趋完善,异动股的选择也一直是证券市场投资者与学者的研究重点,而技术分析作为预测价格未来走势的投资分析方法也日渐成为金融市场中重要的投资分析流派。对于股市中应该选择哪支股票进行投资也成为投资者、投资分析师甚至一些学者的关注内容。在选股过程中,投资者更关注的就是异动股,因为异动股中往往会跑出牛股。但是,股票的选择是一个非常复杂且有技术性的问题,需要综合考虑各种因素,在基础分析方面需研究该支股票公司的盈利、公司发展状况、国家的宏观经济政策,在技术分析方面,则要考虑技术指标与技术图形等。这对个体投资者而言,无疑有些困难,特别是对短期投资者而言,投资机会瞬息万变,在短期内进行正确的决策是需要非常广泛的知识面,而投资者也没有一个固定的投资依据。基于此,本文针对短期投资者提出一个异动股选择的参考方法,并从统计方面进行了证明,为投资者及相关学者提供了参考依据。本文通过对2009年至2010年中国股市中的20支异动股票在异动前的一段时间数据进行研究,发现2009年至2010年异动股在暴涨前都会发生相对强弱指标的黄金交叉以及指数异同平滑移动平均线的黄金交叉,而且RSI的金叉的发生往往在MACD黄金交叉之前,与此同时,对该20支异动股的换手率分析发现,在股票暴涨前5日换手率的变动值有异常的变化。根据该现象提出了选择异动股票的一种方法,并从实证角度给予证明。根据分析所得结论,结合Bootstrap法对本文结果进行证明,研究结论表明,在牛市中结合利用RSI和MACD两个技术指标进行股票投资能取得超额收益率,而在熊市及振荡股市中,该技术分析法的有效性不明显。本文的结论在另一个角度,为技术指标有效性提供了证据,也为投资者及相关研究人员提供参考。
[Abstract]:With the rapid development of China's economy, the development of China's stock market is also becoming more and more perfect, and the choice of exotic stocks has always been the focus of research by investors and scholars in the securities market. As an investment analysis method to predict the future trend of price, technical analysis is becoming an important investment analysis school in financial market. Investors, investment analysts and even some scholars pay attention to which stocks should be chosen to invest in the stock market. In the process of stock selection, investors are more focused on the muti-stocks, which tend to run out of bulls. However, the selection of stocks is a very complex and technical issue, which requires comprehensive consideration of various factors, and a fundamental analysis of the profitability of the stock company, the state of the company's development, and the macroeconomic policies of the country. In the aspect of technical analysis, the technical indexes and graphics should be considered. This is undoubtedly a bit difficult for individual investors, especially for short-term investors, where investment opportunities are changing rapidly, and making the right decisions in the short term requires a very broad range of knowledge. And investors do not have a fixed basis for investment. Based on this, this paper puts forward a reference method for short-term investors, and proves it from the statistical aspect, which provides a reference basis for investors and related scholars. This paper studies the data of 20 abnormal stocks in the Chinese stock market from 2009 to 2010. It is found that the gold cross of the relative strength index and the smooth moving average line of index similarities and differences will occur between 2009 and 2010, and the occurrence of the RSI gold fork often occurs before the MACD gold crossover, at the same time, By analyzing the turnover rate of the 20 abnormal stocks, it is found that the change value of the turnover rate has an abnormal change on the 5th day before the stock burst. According to this phenomenon, this paper puts forward a method of choosing abnormal stock, and proves it from an empirical point of view. According to the conclusions obtained from the analysis and the Bootstrap method, the results of this paper are proved. The results show that the excess return can be obtained in the bull market by using RSI and MACD technical indicators, while in the bear market and the volatile stock market, the results of the study show that the stock investment can achieve the excess return in the bull market. The effectiveness of this method is not obvious. On the other hand, the conclusion provides evidence for the effectiveness of technical indicators, as well as references for investors and related researchers.
【学位授予单位】：北方工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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