中国股指均线心理关口效应的实证研究

发布时间：2019-06-27 13:45

【摘要】：近年来,随着我国的股票市场迅速发展,股票作为一种投资选择也逐步受到投资者的关注。在股票投资中,移动平均线一直是一种较为常用的投资指标。投资者在运用均线进行股票投资的过程中,形成了一定的较为统一的认识,认为均线具有助涨助跌、支撑压力作用,即均线存在心理关口效应。在现有的研究中,关于股票的心理关口的研究大多集中于固定点位(如50分位、100分位等),关于均线是否具备心理关口效应却鲜有论及。投资者的均线投资策略能否得到证据支持?在众多的股票指数均线中,哪些均线存在心理关口效应?股票指数均线的心理关口效应对股票指数的收益率又会产生怎样的影响?运用股票指数心理关口进行投资能否取得超额收益?对这些问题的研究具有重要的现实意义。本文选取在我国证券市场上有较大的影响力的上海证券交易所的上证综合指数和深圳证券交易所的深证成份股指数作为研究对象,通过建立模型、统计检验、数据模拟等方法对我国证券市场股票指数均线是否具有心理关口效应、股指均线对收益率的影响及利用均线交易策略投资的可行性三个方面展开论述。首先,本文对现有的研究固定点位心理关口效应的模型进行改进,并用乖离率指标作为代理变量,使之适合对均线心理关口效应进行验证。同时,针对原有模型固有的只能从总体上检验心理关口效应,而无法区分股指向上(向下)突破均线时的不同表现,设计黑箱突破模型,并运用之实现对均线心理关口效应的检验。其次,本文研究了股指突破均线前后收益率的变动情况,结果证明均线具有助涨助跌的特性,股指在向上突破均线后,会进一步的上涨,而股指向下突破均线后会继续下跌。根据这一特性,笔者设计模型观察了股指在均线两侧不同区间的收益率情况。最后,本文在以上研究证明均线存在心理关口效应的基础上,根据常用的均线设计了简单均线交易策略和加入带宽的均线交易策略,并运用这些交易策略对上证综指和深证成指进行模拟投资。通过上述方法,经过实证分析,得到如下结论。在运用驼峰分布在检验均线心理关口效应模型中,上证综指的10日、30日、60日均线及深证成指的60日均线有较强的心理关口效应。另外,在黑箱突破模型中,作者发现均线支撑作用和压力作用是不对称的,上证综指和深证成指在向上突破中短期均线时受到显著的压力作用,而向上突破长期均线压力作用不明显,而向下突破均线时,均线的支撑效果亦不显著。总体上说,某些均线存在心理关口效应,但是均线的心理关口效应对于股指支撑和压力作用是不一样的。通过回归分析,作者发现股指在突破均线前后收益率存在显著的相关性,即股指均线有明显的助涨助跌的特性。当股指向上突破均线后,股指收益率显著为正,而当股指向下突破均线后,股指收益率显著为负。同时对针对均线附近区间收益分析时发现,股指在向上突破均线时显得较为犹豫,而向下突破均线时有较强的惯性,这也可以看作是均线压力作用和支撑作用不对称的证据。在分析得出均线存在心理关口效应,而且其会对股指收益产生显著影响的基础,我们构建了简单的利用均线的交易规则,分别在无带宽和加入适当带宽的情况下进行模拟投资,结果发现在加入适当的带宽后,大部分利用均线进行投资的方法都可以取得超越大盘收益。
[Abstract]:In recent years, with the rapid development of the stock market in our country, the stock as a kind of investment choice is also gradually attracted by the investors. In the stock investment, the moving average line has been a more common investment index. In the process of using the average line to carry on the stock investment, the investor has formed a certain relatively unified understanding that the balance line has the effect of boosting and falling, supporting the pressure function, that is, the average line has the psychological barrier effect. In the existing research, the research on the psychological gateway of the stock is mostly focused on the fixed-point position (e.g.,50-bit,100-bit, etc.). Can the investor's mean-line investment strategy be supported by evidence? Which of the average line of stock index have the psychological gateway effect? How can the stock index's psychological gateway effect affect the yield of the stock index? Can the stock index psychological gateway be used to carry on the investment to obtain the excess income? The research on these problems is of great practical significance. This paper selects the Shanghai Stock Exchange's Shanghai Stock Exchange's Shanghai Stock Exchange's Shanghai Stock Exchange's Shanghai Stock Exchange and the Shenzhen Stock Exchange's Shenzhen Stock Exchange Index as the research object. Whether the stock index of stock index of China has the psychological gateway effect, the influence of the stock index on the rate of return and the feasibility of using the mean-line trading strategy to invest in the stock index of China's stock market First of all, this paper is to improve the model of the point-of-point mental gateway effect of the existing research fixed point, and use the deviation rate index as the agent variable, so that it is suitable for the effect of the psychological gateway of the mean line. Line verification. At the same time, only the psychological gateway effect can be tested on the basis of the inherent model of the original model, and the different performance of the index up (down) break through the mean line can not be distinguished, the black box break-through model is designed, and the effect on the mean-line psychological gateway effect can be realized. Second, this paper studies the change of the rate of return before and after the stock index breaks through the average line, and the result shows that the average line has the characteristics of increasing and falling, and the stock index will rise further after the average line breaks through the average line, and the stock index will continue to break through the balance line. According to this characteristic, the author designs the model to observe the income of the stock index on the two sides of the average line. In the end, on the basis of the above research, this paper designs a simple and average-line trading strategy and the average-line trading strategy of adding the bandwidth on the basis of the above research. The proposed investment, through the above-mentioned method, is obtained by the empirical analysis. The results are as follows: In the model of the effect of the distribution of the hump on the psychological gateway of the test, the mean of the day, the 30th, the 60th day and the 60-day mean line of the upper certificate means that the mean line of the 60-day mean line has a strong heart. In addition, in the black box break-through model, the authors find that the mean-line support and the pressure are not symmetrical, and the upper and the lower-pass fingers are under a significant pressure to break through the short-term mean line in the upward break, while the upward break through the long-term mean-line pressure is not obvious, and the downward the support effect of the mean line when the mean line is broken The fruit is also not significant. In general, there is a psychological gateway effect on some of the average lines, but the psychological gateway effect of the mean line is for stock index support and pressure. It's not the same. Through the regression analysis, the author finds that the stock index has a significant correlation before and after the break-through, that is, the stock index is obvious. When the stock index breaks through the average, the yield of the stock index is obviously positive, and when the stock index breaks through the mean line, the stock index The return rate is obviously negative. At the same time, it is found that the stock index is more hesitant when the average line is broken through the average line, and the downward breakthrough of the average line has a strong inertia, which can also be regarded as the mean-line pressure and the support. Based on the analysis that there is a psychological gateway effect on the average line, and it will have a significant impact on the stock index income, we have constructed a simple transaction rule that makes use of the average line, which is in the case of no bandwidth and the addition of the appropriate bandwidth, respectively. The results show that most of the methods used to invest in the average line can be taken after the appropriate bandwidth is added.
【学位授予单位】：广西师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【相似文献】