跳跃择时结合动量策略和反转策略的盈利性研究

发布时间：2018-01-09 21:51

本文关键词：跳跃择时结合动量策略和反转策略的盈利性研究　出处：《厦门大学》2014年硕士论文　论文类型：学位论文

【摘要】：股市的动量效应和反转效应一直是学术界和业界比较热衷的话题之一,但以往的所有相关研究或者投资策略基本上都只从选股一个方面切入。一方面在股市存在动量或者反转效应的基础上,如果我们能够找到至少精确到某一日的时间点使得投资者能够对未来的大盘走势做出相对可信的预测,从而能够在相对正确的时间点再通过执行动量策略或者反转策略来选股,使得动量和反转策略的表现得到加强将是非常有意义的；另一方面,国内学者的研究很少涉及跳跃应用的问题,无论是学术界还是业界几乎还没有研究者把跳跃行为结合到投资策略中并且作为择时的指标研究过其在中国股票市场的表现。因此,本文首先通过实证检验研究跳跃风险衡量指标对中国股市表现的预测能力,在此基础上再将跳跃与动量效应和反转效应相结合,利用跳跃作为建仓信号,利用动量策略和反转策略来选股,考察新策略的表现并与纯策略进行对比。在策略执行之前,本文通过实证检验发现文章选取的几个指标都有一定的预测能力,其中符号跳跃变差的预测能力相对最佳。在包含一个相对完整市场周期的十年样本期间内,再以上证A股所有股票作为股票池执行新的策略。从策略表现上看,首先,在大样本期间下,无论是跳跃择时结合动量策略还是跳跃择时结合反转策略,比起纯策略都有很大的优越性。另外,将跳跃择时结合反转策略的情况与结合动量策略的情况作对比,发现结合反转策略后的策略表现明显比结合动量策略具有更大的优势。另外,本文在原有的跳跃择时结合动量和反转策略基础上试图在投资组合成份股个数、滞后期、大小盘等几个方面对新策略作出改进,发现调整成分股的个数可以明显提升策略的表现；而滞后期的加入只能让策略的收益率表现变差；限定了小盘股后,新策略的表现也得到了提升。
[Abstract]:The momentum effect and reversal effect of the stock market has been one of the academic and industry are more interested in the topic, but all previous related research or investment strategy basically only from one aspect of stock entry. On the one hand in the presence of momentum or reverse effect on the stock market, if we can find at least one day time accurate to that investors can make a credible prediction on future market trend, which can in a relatively correct time again through the implementation of momentum strategies and contrarian strategies to stock selection, the momentum and contrarian strategy performance will be strengthened is very significant; on the other hand, domestic scholars rarely jump application problems, both academic and industry researchers have almost no binding to the jump behavior of investment strategy and as the selection index of the China the performance of the stock market. Therefore, this paper through empirical study jump risk measure the ability to predict Chinese stock market performance, and then will jump in combination with the momentum effect and reversal effect, by jumping as Jiancang signal, using the momentum strategy and contrarian strategy to stock selection, study new strategies and performance compared with the pure strategy.
In the strategy execution before, through empirical testing found several indicators the article selected has a certain predictive ability, the ability to predict the variation of symbol jump relative best. During contains a relatively complete market cycle within ten years of the sample, then the above card A shares of all stock as the stock pool implementation of the new strategy. From a strategic point of view, first of all, in the sample period, both jump timing strategy combining with the momentum reversal strategy or jump timing, compared with pure strategy has great superiority. In addition, the jump timing with reversal strategy comparison and combination of momentum strategies, it was found that the combination of Contrarian strategy the strategy obviously has more advantages than the combination of momentum strategies. In addition, based on the original jump timing combination of momentum and contrarian strategy based on a number of attempts in the portfolio of stocks, lag In order to improve the performance of the new strategy, it is found that adjusting the number of constituent stocks can significantly improve the performance of the strategy, while the lag lag can only make the performance of the strategy worse. After defining the small cap stocks, the new strategy has also been improved.

【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

【参考文献】