香港股票市场与中国宏观经济变量：APT模型（套利定价理论）

发布时间：2018-08-02 08:44

【摘要】：股票市场活动是全球经济的一个重要组成部分,而近些年,随着经济的迅猛发展,中国已成为了全球第二大市场。我选择使用APT模型(套利定价模式)对香港股票市场进行分析。主要集中分析两种形式的组合：国企股和红筹股。将香港交易所主板的样本数,根据宏观经济变数分成两种股票,用于APT模型(套利定价理论),以主成分分析法和回归分析法进行分析。利用回归分析法对国企股和红筹股进行比较后,发现一些有效宏观变数。国企股与中国民族企业市场情况有着密切的关系,并可预示出产业活动,而红筹股则与历史事实变数,特别是与产品变数有着密切的关系。我利用了PCA(主成分分析法)对受中国经济影响的中国经济宏观变数进行了分析后,发现了三个国企股宏观经济变数的主成分。第一个主成分与预测调查指数密切相关,第二个主成分与货币兑换密切相关,第三个主要成分与USD(美元)和历史产品价格变数密切相关。而红筹股的第一个主成分与市场和股票变数密切,第二个主成分与宏观、历史有效变数密切相关,而第三个主成分同样与宏观、历史有效变数密切相关。
[Abstract]:Stock market activity is an important part of the global economy, and in recent years, with the rapid development of the economy, China has become the second largest market in the world. I chose to use the APT model (arbitrage pricing model) to analyze the Hong Kong stock market. Mainly focus on the analysis of two forms of combination: state-owned shares and red chips. The sample number of the main board of the Hong Kong Stock Exchange is divided into two kinds of stocks according to the macroeconomic variables, which are used in the APT model (arbitrage pricing theory) and analyzed by principal component analysis and regression analysis. After comparing state-owned enterprises and red chips by regression analysis, some effective macro variables are found. The state-owned enterprises share has a close relationship with the market situation of Chinese national enterprises, and it can foreshadow the industrial activity, while the red chip stock has a close relationship with the historical fact variable, especially with the product variable. I use PCA (Principal component Analysis) to analyze the macro variables of Chinese economy affected by Chinese economy, and find out the principal components of the macroeconomic variables of three state-owned enterprises' shares. The first component is closely related to the forecast index, the second component is closely related to currency exchange, and the third component is closely related to the USD (dollar) and historical product price variables. The first principal component of red chip stock is closely related to market and stock variables, the second principal component is closely related to macro and historical effective variables, and the third principal component is also closely related to macro and historical effective variables.
【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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