基于动量效应的A股板块量化投资策略的研究

发布时间：2018-05-16 09:49

本文选题：动量效应 + 量化　；参考：《上海交通大学》2014年硕士论文

【摘要】：动量效应是西方金融经济学中的重要发现之一,自上个世纪90年代以来国外的研究者们已经做了大量的研究并丰富了该观点的内涵。使之成为国外投资者机构重要的投资参考之一。近年来,有关动量效应的研究在国内也不断涌现,对于该效应在中国资本市场特别是A股市场的存在程度做了不同维度的讨论、分析和验证。然而,目前此类研究还多以实证目的居多,把动量效应应用到实际投资策略中的研究还是很少见的。本研究的目标是探索一套可操作的基于动量效应的投资策略。这个策略期望能实现明显领先于大盘的收益并具备实践操作性。而量化,作为重要的分析手段也成为本研究的重要组成部分,因此本研究的目标投资策略为量化投资策略。本研究首先对于动量效应的发现、原理及理论解释做了基本介绍,又介绍了国内一些对于动量效应的研究。由于投资策略涉及到了量化投资理念,因此也对量化投资也做了概念性介绍。在探索投资策略前,首先需要找出投资标的目标。本研究对于A股整体的动量效应进行了实证,发现整体的动量效应并不明显,因此转换思路把研究的方向重点放在了A股的板块上。通过实证,发现动量效应在部分板块有着较为明显的存在性。因此继续深入研究探讨了如何找出动量效应有效的板块,以及如何建立板块投资策略及过程。基于以上,继续研究了如何用股票组合来替代板块标的并实现模拟基金指数化的方法。本研究最终认为,动量效应在以板块为投资标的的投资策略中潜在具有可用性。
[Abstract]:Momentum effect is one of the important discoveries in western financial economics. Since the 1990s, researchers abroad have done a lot of research and enriched the connotation of this view. To make it an important investment reference for foreign investor institutions. In recent years, the research on momentum effect has been emerging in China. The existence degree of momentum effect in Chinese capital market, especially in A-share market, has been discussed, analyzed and verified in different dimensions. However, at present, most of these studies are for empirical purposes, and it is rare to apply momentum effect to actual investment strategies. The objective of this study is to explore an operational investment strategy based on momentum effect. This strategy is expected to achieve significantly ahead of the market in terms of revenue and practical maneuverability. Quantification, as an important means of analysis, has become an important part of this study, so the target investment strategy of this study is quantitative investment strategy. In this study, the discovery, principle and theoretical explanation of momentum effect are introduced, and some researches on momentum effect in China are also introduced. Since the investment strategy involves the concept of quantitative investment, the concept of quantitative investment is also introduced. Before exploring the investment strategy, we need to find out the target of investment first. In this study, the momentum effect of A shares is demonstrated, and the momentum effect of A shares is not obvious, so the focus of this study is on the plate of A shares. It is found that momentum effect has obvious existence in some plates. Therefore, the paper further studies how to find the plate with effective response, and how to establish the investment strategy and process of the plate. Based on the above, we continue to study how to use the stock portfolio to replace the block target and to simulate the index of the fund. This study concludes that momentum effect has potential availability in investment strategies with plate as the investment target.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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