基于证券交易印花税调整的投资组合研究

发布时间：2018-03-11 11:00

本文选题：证券交易印花税　切入点：530事件　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：我国股票市场起于上世纪90年代初,经过20多年的发展,规则不断健全,市场不断成熟,证券交易印花税作为对证券交易者征收的特定税种也应运而生。自1991年该税种设置以来,每一次税率或者征收方式的调整都伴随着股票市场的异动,千股同时接近涨停或跌停的盛况也一再出现。为了研究证券交易印花税对股票市场影响的规律,本文以“530事件”为例研究该事件对A股市场不同行业板块的收益率和风险的影响,并建立投资组合,为投资者在投资活动中设置投资策略以实现资产的保值增值提供借鉴。传统的投资组合模型(如马科维茨的均值—方差模型、资本资产定价模型等)在进行优化时会出现不合理的配置结果。比如均值—方差模型在无限制条件时会出现某些资产的强烈卖空,而当有卖空限制时,某些资产的权重降为零。对输入参数的敏感降低了模型的实践价值,1992年出现的Black-Litterman模型弥补了均值一方差模型的部分不足,它在均衡收益的基础之上引入投资者观点以修正期望收益,使得马科维茨的组合优化中的期望收益更为合理。同时,在模型优化部分,文章使用了具有全局搜索能力的遗传算法。本文主要从两个部分展开研究,第一部分使用事件研究法研究“530事件”对我国A股市场不同行业板块的收益率和收益的波动性的冲击效应,并通过累积超额收益率分析并测定事件冲击效应的持续时间。研究发现,冲击效应的持续时间大约8天。从长期看,绝大多数行业的累积超额收益收敛于一个特定值,表明这一事件已经被投资者所消化。第二部分使用Black-Litterman模型建立投资组合,并利用GARCH模型对投资者观点进行理性预测,最后对所建立的BL模型投资组合通过遗传算法进行优化,确定最优的行业权重。研究结果认为,证券交易印花税税率的上调可能并不会降低投资者关于未来收益的预期,但是其承担的风险却会上升,同时,较更低税率的情况,投资者效用也会更小。
[Abstract]:Since the beginning of -10s, after more than 20 years of development, the stock market of our country has been perfected and the market has matured. Stamp duty on securities transactions has also emerged as a specific tax imposed on securities traders. Since the tax was set up in 1991, every adjustment of the tax rate or method of collection has been accompanied by changes in the stock market. In order to study the impact of stamp duty on stock transactions on the stock market, thousands of shares have also been seen again and again. This paper takes "530 event" as an example to study the impact of "530 event" on the return rate and risk of different sectors in A share market, and to establish a portfolio. Traditional portfolio models (such as Markowitz's mean-variance model) provide a reference for investors to set up investment strategies in their investment activities in order to maintain and increase the value of assets. For example, the mean-variance model will have strong short selling of some assets under unlimited conditions, and when there is a short selling restriction, when there is a short selling restriction, the capital asset pricing model will have unreasonable allocation results. The weight of some assets is reduced to zero. Sensitivity to input parameters reduces the practical value of the model, and the Black-Litterman model, which appeared in 1992, makes up some of the shortcomings of the mean difference model. On the basis of the equilibrium return, it introduces the investor's viewpoint to correct the expected return, which makes the expected return in Markowitz's portfolio optimization more reasonable. At the same time, in the optimization part of the model, In this paper, a genetic algorithm with global search ability is used. The first part studies the impact effect of "530 event" on the volatility of return and income in different sectors of A-share market in China by the method of event research. The study found that the duration of impact effect is about 8 days. In the long run, the cumulative excess return of most industries converges to a specific value. The results show that this event has been digested by investors. In the second part, the Black-Litterman model is used to build the investment portfolio, and the GARCH model is used to predict the investor's viewpoint rationally. Finally, the investment portfolio of the established BL model is optimized by genetic algorithm. Determine the optimal industry weight. The study concluded that the increase in the stamp duty rate on securities transactions might not lower investors' expectations of future returns, but that it would take on increased risks and lower tax rates. Investors will also be less effective.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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