A基金的股市资金流测度模型研究

发布时间：2018-02-03 23:47

本文关键词： 股市资金流向测度模型选股模型有效性检验　出处：《郑州大学》2017年硕士论文　论文类型：学位论文

【摘要】：在资金推动和资金博弈的证券市场中,资金流向的确认和计算是金融工程的一大理论难题。资金流向指标出现在上世纪70年代,近年来该指标应用越来越普遍。国内外有很多投资机构与金融媒体合作会根据研究结果定期提供资金的流向数据报告,但是在实际投资过程中对该指标的使用范围和效果以及基于该指标的具体投资策略涉及较少。随着中国资本市场制度的不断完善,在A股市场上市的企业将会越来越多,通过传统的定性分析很难在众多的上市企业中选择有高回报率的股票。在实际投资过程中,资金流向是投资者购买股票必须关注的一项重要的动量指标,投资者的投资轨迹能够通过资金流向变现出来,因此资金流向指标在一定程度上可以指示股价变动的趋势。所以近年来,运用资金流向指标选股技术越来越受到机构投资者的重视,基于此技术开发的投资产品与日俱增,且获得了可观的年化收益。笔者在A基金公司实习期间,了解到公司致力于研究股市资金流向对市场的影响并参与开发资金流向选股模型的相关工作,在不涉及保密信息的前提下,本文根据基金操盘思路,并结合实证研究方法,再现了部分A基金资金流向测度模型的开发研究,并加入了笔者的想法和创新,再现A基金股市资金流向模型的开发研究过程,希望能够给投资者的实际操作提供一些具有一定参考价值的建议,从而推动资金流向选股策略在我国证券市场交易中的应用发展。本文从市场微观结构理论出发,揭示资金流作用原理,采取独有的模型,对市场股票每日资金流进行测算,找到多个资金流指标,来度量股票的潜在信息,引入了信息模型,验证了市场对信息普遍反应过度的结论,运用逆向选择论,设计资金流指标选股模型,并结合实际进行了模型的测试。实证结果证明构建的模型能够以较大的概率地战胜基准。虽然存在局限性,但资金流测度选股模型依然可以对投资者的投资行为提供帮助,具有一定的适用性。
[Abstract]:In the securities market of fund promotion and fund game, the confirmation and calculation of capital flow is a big theoretical problem in financial engineering. The capital flow index appeared in -30s. In recent years, the use of this indicator is becoming more and more common. There are many domestic and foreign investment institutions and financial media cooperation will regularly provide data reports on the flow of funds based on the results of the research. However, in the actual investment process, the scope and effect of the use of the index and the specific investment strategy based on the index are less involved, along with the continuous improvement of China's capital market system. There will be more and more companies listed in the A-share market. It is difficult to select stocks with high return rate through the traditional qualitative analysis. In the actual investment process. Capital flow is an important momentum index that investors must pay attention to when buying stocks. The investment trajectory of investors can be realized through the flow of funds. Therefore, the index of capital flow can indicate the trend of stock price to a certain extent. Therefore, in recent years, the technology of stock selection with the index of capital flow has been paid more and more attention by institutional investors. The investment products based on this technology are increasing with each passing day and have gained considerable annual income. Understand that the company is committed to study the impact of stock market capital flow on the market and participate in the development of capital flow model of stock selection work, in the absence of confidential information, this paper according to the fund trading ideas. Combining with the empirical research method, this paper reproduces the development and research of A fund fund flow measurement model, and adds the author's ideas and innovations to reproduce the development and research process of A fund stock market fund flow model. It is hoped that it can provide some valuable suggestions for investors' practical operation. In order to promote the development of the application of the stock selection strategy in China's securities market, this paper reveals the principle of fund flow from the market microstructure theory, and adopts a unique model. This paper measures the daily capital flow of the stock market, finds several indexes of the capital flow to measure the potential information of the stock, introduces the information model, verifies the conclusion that the market is overreacting to the information, and applies the reverse selection theory. The paper designs the stock selection model of the capital flow index, and tests the model in combination with the practice. The empirical results show that the constructed model can overcome the benchmark with a high probability, although there are some limitations. However, the stock selection model of capital flow measurement can still be helpful to investors' investment behavior and has certain applicability.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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