沪市风险结构及其特征分析

发布时间：2018-01-28 11:49

本文关键词： 风险结构多因素模型方差分解上证GICS分类　出处：《北方工业大学》2014年硕士论文　论文类型：学位论文

【摘要】：股票投资的风险源于未来收益的不确定性,这种不确定性包含了公司层面、行业层面和市场层面三个重要的层次结构。为了全面认识投资风险,规避不确定性,需要解析个股风险结构,计算每个层次的风险比重及其变化趋势,进而制定合适的投资计划。本文选取全部沪市A股股票、上证指数、上证行业指数的日收盘价为考察数据,选择2009年1月9日-2013年12月31日为研究的时间区间,其中A股数据剔除ST、*ST、暂停上市的股票后,依据GICS分类标准,将余下的791支股票划分为能源、原材料、工业、可选消费、主要消费、医药卫生、金融地产、信息技术、通讯服务、公用事业十大行业。本文在每个年度对个股收益分别建立行业因素模型,通过分解个股收益率的方差,计算出公司因素、行业因素、市场因素对个股收益波动的贡献程度,之后以个股流通市值为权数,分别计算GICS行业分类下个股的加权平均值,得到十个行业的风险结构。通过分析沪市不同行业的风险结构及其变化趋势,本文可以得到以下几个重要结论。整体来看,正在进行重大资产重组、尝试业务转型、出现财务问题等的上市公司表现出很强的公司风险,而行业里的龙头公司运营比较成熟,来自公司层面的风险相对比较小,受市场因素的影响相对大一些。从行业来看,不同的行业呈现出不一样的风险特征：1)基础型产业,如能源、原材料、通讯服务、工业、公用事业,个股风险较多地受市场因素的影响,除了原材料行业,其它四个行业的风险结构相对比较稳定,比例变动不大；2)国家战略新兴产业,例如信息技术行业,在国家政策的扶持和保护下,该行业股票收益的波动受到市场因素的影响比较小,上市公司风险主要是受公司因素的影响,而且公司风险有继续增加的趋势；3)金融地产行业风险较多来自市场因素,而且市场风险有逐年增加的趋势；同时也具有较大的行业风险,但是行业风险有减少的趋势；4)医药卫生行业市场风险占比较小,目前我国宏观经济前景尚不清晰,投资者可以选择具备较强防御特性的医药卫生行业股票；5)对于消费行业来说,包括日用产品、食品和药品零售等细分行业的主要消费行业受宏观经济的影响不大,公司风险占总风险的比例较大；而包括汽车、服装、休闲和媒体等细分行业的可选消费行业受宏观经济的影响比较大,风险主要来自市场层面的波动。本文结论可以为投资者决策提供参考意见,风险偏好型的投资者可以关注公司风险较高的股票,例如信息技术行业的股票,从股票本身的波动中受益；风险厌恶型的投资者可以从医药卫生、主要消费等行业中选择股票进行适当的组合,通过分散非系统性风险来降低投资风险。
[Abstract]:The risk of stock investment originates from the uncertainty of future income, which includes three important hierarchies: company level, industry level and market level. It is necessary to analyze the risk structure of individual stock, calculate the risk proportion of each level and its changing trend, and then make the appropriate investment plan. This paper selects all Shanghai A-share stocks, Shanghai Stock Exchange Index, Shanghai Stock Exchange Index daily closing price as the investigation data, and selects January 9th 2009-December 31st 2013 as the time interval of the study. After the A-share data exclude STT and suspend the listing of stocks, the remaining 791 stocks are divided into energy, raw materials, industry, optional consumption and main consumption according to GICS classification criteria. Medical and health, financial real estate, information technology, communication services, public utilities, ten industries. This paper establishes the industry factor model for the income of individual stock in each year, by decomposing the variance of the return rate of individual stock. Calculate the contribution of company factors, industry factors, market factors to the volatility of individual stock returns, and then calculate the weighted average of individual stocks under GICS industry classification with market value as weight. Get the risk structure of ten industries. By analyzing the risk structure and its changing trend of different industries in Shanghai Stock Exchange, this paper can get the following important conclusions. On the whole, we are carrying out major asset restructuring to try business transformation. Listed companies with financial problems show strong corporate risk, while the leading companies in the industry are relatively mature, relatively small risks from the corporate level. Different industries show different risk characteristics: 1) basic industries, such as energy, raw materials, communications services, industry, public utilities. The risk of individual stock is mostly influenced by market factors, except for raw material industry, the risk structure of the other four industries is relatively stable, and the proportion is not changed. 2) National strategic emerging industries, such as the information technology industry, under the support and protection of national policies, the volatility of stock returns in this industry is less affected by market factors. The listed company risk is mainly affected by the company factor, and the company risk has the tendency to continue to increase; 3) the financial and real estate industry risk comes from the market factor, and the market risk has the tendency of increasing year by year; At the same time, it also has the bigger industry risk, but the industry risk has the tendency to reduce; 4) the market risk of medicine and health industry is relatively small, the macroeconomic prospect of our country is not clear at present, the investors can choose the medicine and health industry stock which has the stronger defense characteristic; 5) for the consumer industry, the main consumer industries, including daily products, food and drug retailing, are not affected by the macro-economy, and the corporate risk is a larger proportion of the total risk; The optional consumer industries, which include automobile, clothing, leisure and media, are influenced by the macro economy, and the risk is mainly from the fluctuation of market level. The conclusion of this paper can provide reference for investors to make decisions. Investors with risk preference can pay attention to the stocks with high risk, such as those in information technology industry, and benefit from the volatility of stocks themselves. Risk averse investors can choose the appropriate combination of stocks from medicine and health, major consumption and other industries, and reduce the investment risk by dispersing non-systemic risk.
【学位授予单位】：北方工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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