沪深A股市场涨停板股票组合投资策略的研究

发布时间：2018-01-01 00:20

本文关键词：沪深A股市场涨停板股票组合投资策略的研究　出处：《电子科技大学》2014年硕士论文　论文类型：学位论文

【摘要】：为了抑制过渡投机和稳定中国的证券市场,中国沪深交易所经证监会同意从1996年12月16日开始实施涨跌停制度,从此中国股市进入了涨跌停制度时代。但直至今日,人们对该项制度的讨论从未停止过,包括能否达到制度引入的初衷,对股市的流动性、波动性、有效性、价格发现的影响,是否有干扰了证券交易等问题。涨跌停板制度无论对中国证券管理机构,还是对证券投资者的影响都很大。利用涨停板制度本身作为投资策略而实现超额收益的话题,引起了广大证券投资者的关心,也是本文的出发点。本文系统地回顾了中国股市的成长历史和证券投资的基本方法,分析了涨跌停板制度的特点和制度对股市的影响,重点解析在涨跌停制度下,投资者利用涨跌停制度作为投资策略的理论基础、方法、可行性和实证分析,本文重点研究低买高卖的涨停版组合投资策略及有效性。本文采用“比较分析法”、“分组分析法”和“回归分析法”,选取上海和深圳证券市场当日涨停的A类股票(没有被ST和PT的股票)三年(2006年、2008年和2012年)历史数据进行了实证分析,试图揭开“涨停板敢死队”的神秘面纱,揭示涨停板组合投资策略的有效性,以及这种投资策略的风险和收益情况。
[Abstract]:In order to curb excessive speculation and stabilize China's securities market, China's Shanghai and Shenzhen exchanges approved by the Securities Regulatory Commission from December 16th 1996 to implement a limit system. Since then, China's stock market has entered the trading limit system era, but to this day, people have never stopped the discussion of this system, including whether to achieve the original intention of the introduction of the system, the liquidity, volatility, effectiveness of the stock market. The impact of price discovery, whether there is interference with securities trading and other issues. Ups and downs limit board system regardless of China's securities regulatory agencies. It also has a great impact on the securities investors. The topic of realizing excess returns by using the system itself as an investment strategy has aroused the concern of the majority of securities investors. It is also the starting point of this paper. This paper systematically reviews the growth history of Chinese stock market and the basic methods of securities investment, and analyzes the characteristics of the system and the impact of the system on the stock market. Focus on the price limit system, investors use the price limit system as the theoretical basis of investment strategy, methods, feasibility and empirical analysis. This paper focuses on the investment strategy and effectiveness of high price trading portfolio. This paper adopts "comparative analysis", "grouping analysis" and "regression analysis". The historical data of class A stocks (not by St and PT) in Shanghai and Shenzhen stock markets on the same day (2006, 2008 and 2012) were selected for empirical analysis. This paper attempts to uncover the mystery of the "Expendables", to reveal the effectiveness of the portfolio investment strategy, and the risk and return of the investment strategy.
【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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