基于A股市场流动性的最优投资组合策略研究

发布时间：2018-04-25 08:23

本文选题：市场流动性 + BDS检验　；参考：《福州大学》2013年硕士论文

【摘要】：现代金融学研究的问题主要是投资的收益和风险之间的均衡问题,而最早将这两项内容结合在一起的学者是Markowitz,他在1952年提出了著名的投资组合理论。在金融市场发展日新月异的今天,越来越多的限制性因素出现在了投资者的面前,其中就包括了市场的流动性因素。马克维茨的最优组合理论和马克维茨有效边界理论成立的条件是市场是完全的,但是很多金融市场是不完全的,很多市场中存在着不流动资产,例如房地产市场、存在限售国有股的A股市场,风险投资市场都是典型的含有不流动资产的市场。然而,在某些极端事件发生的情况下,我们平时认为流动性很好的股票市场也会出现流动性问题,这时一些资产就可能会受到流动性的极大影响。例如2008年的世界性金融危机,全球市场受到重创,世界股市全部暴跌,在这种情况下,如果投资者配置了一些受流动性环境影响较大的资产,那么其损失必然是巨大的。基于这种背景,本文将流动性因素纳入了最优投资组合的选择当中。本文首先假设股票市场中存在两类资产,一类资产的流动性较好,承受的市场流动性影响几乎可以忽略不计；而另一类资产受市场流动性影响较大。假设受市场流动性影响较大的资产的均衡价格由其本身的信息项和市场流动性环境所确定的随机过程决定,通过均衡条件下的资产需求和供给情况和伊藤引理导出资产的均衡价格表达式。进而可以通过资产的价格过程推出资产的收益率,方差和夏普比率等指标的表达式；通过对流动性代理变量指标对资产的收益率,方差和夏普比率等指标进行调整,使其可以应用到经典的流动性最优投资组合框架中。本文通过选取沪深300指数内的10个相关行业指数作为投资组合的研究对象,通过BDS检验来分析其日对数收益率序列是否满足独立同分布(i.i.d.)条件,来对其是否明显受流动性环境影响进行分类；最后本文对选取的资产进行了投资组合的实证研究。本文研究结果表明：在市场流动环境较好的情况下,对投资组合进行流动性调整的效果并不显著；而在市场流动性环境较差的情况下,对投资组合进行流动性调整的效果十分显著,均有比较好的表现。实证结果表明,在市场流动性环境变化时资产投资组合的表现会有很大的差异,因而必须根据流动性条件对资产的各项指标参数进行调整。
[Abstract]:The main problem of modern finance is the balance between the return and risk of investment. Markowitz is the first scholar to combine the two contents. He put forward the famous portfolio theory in 1952. With the rapid development of financial markets, more and more restrictive factors appear in front of investors, including liquidity factors. Markowitz's optimal combination theory and Markowitz's efficient boundary theory are based on the condition that the market is complete, but many financial markets are incomplete, and many markets have illiquid assets, such as the real estate market. There is a A-share market with restricted sale of state-owned shares, and venture capital markets are typical markets with illiquid assets. However, in the case of some extreme events, we usually think that the stock market with good liquidity will also have liquidity problems, and some assets may be greatly affected by liquidity. For example, the global financial crisis in 2008, the global market was hit hard, the world stock market all plummeted, in this case, if the investor allocates some assets which are greatly affected by the liquidity environment, then its loss is bound to be huge. Based on this background, the liquidity factor is included in the selection of optimal portfolio. This paper first assumes that there are two types of assets in the stock market, one of which has good liquidity, and the other is influenced by market liquidity. Assuming that the equilibrium price of assets affected by market liquidity is determined by their own information items and stochastic processes determined by the market liquidity environment, The equilibrium price expression of assets is derived from the demand and supply of assets under equilibrium conditions and Ito Lemma. Then we can derive the expression of the return rate, variance and Sharp ratio of assets through the price process of assets, and adjust the return rate, variance and Sharp ratio of assets through the liquidity agent variable index. It can be applied to the classical liquidity optimal portfolio framework. In this paper, 10 related industry indexes in CSI 300 index are selected as the research object of investment portfolio, and the BDS test is used to analyze whether the daily logarithmic yield series satisfies the independent same distribution. Finally, this paper makes an empirical study on the portfolio of selected assets. The results show that the effect of portfolio liquidity adjustment is not significant when the market liquidity environment is good, but in the case of poor market liquidity environment, Portfolio liquidity adjustment results are very significant, have better performance. The empirical results show that when the market liquidity environment changes, the performance of the asset portfolio will be very different, so we must adjust the asset parameters according to the liquidity conditions.
【学位授予单位】：福州大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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