股市大小盘轮动影响因素实证研究

发布时间：2018-05-31 09:45

本文选题：股票市场 + 大小盘轮动　；参考：《河北大学》2016年硕士论文

【摘要】：风格投资是指投资于某些具有相同价格行为或相同收益特征的股票,近年来,风格投资越来越受到人们重视。风格投资可以简单的分为价值型和成长型、大盘股和小盘股等类型,大小盘股票风格作为股票风格的常见一种,也备受人们关注。大小盘轮动是大盘股和小盘股之间存在风格轮动现象,即大盘股价格和小盘股价格之间存在轮番变动的现象。例如,在2014年10月至12月时大盘股的收益要高于小盘股收益,而在2015年1月到3月之间,由于小盘股的快速拉升,使得小盘股的收益明显高于大盘股。尤其是近几年小盘股的表现明显要好于大盘股的表现,因此,大小盘轮动现象值得研究。为了研究大小盘的轮动,本文选取申万大盘指数作为大盘股的代表,选取申万小盘指数作为小盘股的代表,并把申万小盘指数收益率与申万大盘指数收益率之差的累计值作为衡量“大小盘轮动”的指标,再进行相关的统计研究,验证了股票市场中确实存在着大小盘的轮动现象。之后,将分析哪些因素将会对这种轮动现象产生影响。通过衡量,最终确定宏观经济因素、市场因素、估值因素和投资者预期四个方面,共14个相关变量,作为大小盘轮动的影响因素。在从理论上讨论了大小盘轮动的影响因素之后,将用实际数据,从实证角度分析这些因素影响。本文中的实证方法主要包括脉冲响应分析、多元回归分析和Logistic模型的使用。通过脉冲响应分析,发现这些影响因素的冲击对大小盘轮动都有正向或负向的冲击,而且冲击程度不同,冲击时效不同。通过多元回归分析发现,采购经理指数、大小盘成交量之差和大盘股市盈率对轮动有负向影响,即这些变量的增加会使轮动偏向大盘股;而货币供应量、小盘股市盈率和投资者预期轮动有正向影响,即这些变量的增加会使轮动偏向小盘股。通过Logistic模型,可以预测大小盘轮动的概率,从而达到指导实际投资的目的。本文通过简单的投资策略比较,研究发现,在已有影响因素的基础上,利用Logistic预测模型进行的投资决定,可以获得较好的投资收益。
[Abstract]:Style investment refers to stocks that invest in some of the same price behavior or the same income characteristics. In recent years, style investment has been paid more and more attention. Style investment can be divided into value type and growth type, large stock and small stock, and the size of stock style is a common kind of stock style, and it is also closely related to people. There is a phenomenon of rotation between large stock and small plate stocks, that is, the phenomenon of change between large stock price and small stock price. For example, the earnings of large stock in October 2014 to December are higher than that of small stock, and between January 2015 and March, small shares have become small stocks due to the rapid increase of small stocks. In recent years, the performance of small plate shares is obviously better than the performance of large stock. Therefore, the phenomenon of wheel movement is worth studying. In order to study the wheel movement of the large plate, this paper selects the shshm as the representative of the large stock market, selects the shshm as the representative of the small plate stock, and points out the small plate of Shen Wan. The cumulative value of the difference between the rate of return and the rate of return of the shin Wan index is used as an index to measure the "wheel wheel movement", and then the relevant statistical studies have been carried out to verify the real existence of the wheel movement in the stock market. After that, it will analyze which factors will affect this kind of wheel movement. Economic factors, market factors, valuation factors and investors expect four aspects, a total of 14 related variables, as the influence factors of the wheel wheel movement. After discussing the influence factors of the wheel and wheel movement in theory, the actual data will be used to analyze the effects of these factors. The empirical methods in this paper mainly include impulse response points. Analysis, multiple regression analysis and the use of the Logistic model. Through the analysis of impulse response, it is found that the impact of these factors has a positive or negative impact on the wheel and wheel movement, and the impact degree is different and the impact aging is different. By multiple regression analysis, the purchasing manager index, the difference of the volume of the size plate and the ratio of the stock market to the stock market are found. There is a negative effect on the wheel movement, that is, the increase of these variables will make the wheel move to the large stock, while the money supply, the small stock market earnings ratio and the investor anticipation have a positive effect. That is, the increase of these variables will make the wheel move to the small stock. Through the Logistic model, the probability of the wheel movement can be predicted, thus the goal of guiding the actual investment is achieved. Through comparison of simple investment strategies, this paper finds that, on the basis of the existing factors, the investment decision made with the Logistic forecast model can obtain better investment returns.
【学位授予单位】：河北大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.51

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