探究利用成长性及波动率指标建立股票池

发布时间：2018-03-11 16:45

本文选题：选股模型　切入点：因子分析　出处：《上海交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：在当前的社会模式下,全球经济模式日新月异,资本市场也同时经历着天翻地覆的变化。为了保障我国社会主义市场经济的可持续发展,运行情况优良的资本市场是重要的前提条件。投资者作为证券市场中最为重要的角色之一,如何获得持续稳定的投资收益是他们所关心的最主要问题,因为只有能够获得长期稳定的收益,投资者才愿意将自己的资金留在证券市场内,也只有这样证券市场的正常运转才能够得以保证。现阶段,国内外学者对于股票市场方面的理论和技术分析已经十分常见,研究深入并且广泛。然而值得注意的是,我国证券市场的限制十分复杂,国外学者对于其本国证券市场的研究经验总结并不适合于指导我国投资者进行投资实践,而我们国内学者对于股票市场的研究始终局限于对于股票价格影响因素的研究,对于科学的选股方法的探讨是少之又少的。因此,本文拟建立一套新型的、适合我国A股市场的选股方法,使之能够正确的指导我国投资者进行投资实践。上市公司的良好运营状况是一支股票稳定收益的重要保障,因此在选择股票时,我们应当坚守价值投资的正确理念。本文拟将以价值投资理论作为全文论述的起点,将会对影响股票价格波动的诸多因素进行全面而详尽的分析,在分析之后,本文将会从中选取了可量化指标用以建立上市公司运营状况的评价指标体系。本文将使用SPSS软件对初步选取的诸多指标进行主成分分析,以此来降低影像因素的维度,并以结果与上市公司股价的涨跌幅进行回归分析,从中确定出股票价格波动的最主要影响因素,并以这些最主要影响因素建立因子综合得分模型进行选股。通过对研究的理论结果进行实证验证后发现,上涨公司的数量占所有股票总数的三分之二左右,同时通过对价格进行比对,也能有所收益。在研究过程中提出了了具体的选股模型,此种模型一方面能够对股票的选择具有指导意义,另一方面也能对股票池的建立有一定的实用价值。所以本文研究具有一定的实践意义。
[Abstract]:In the current social mode, change rapidly the global economic model, the capital market is also undergoing tremendous changes. In order to guarantee the sustainable development of China's socialist market economy, excellent operation of capital market is an important premise for investors in the securities market as one of the most important role, how to achieve sustained stable investment income is the most important issue they care about, because only can long-term stable returns, investors will be willing to keep money in the securities market in their own, only the normal operation of such securities market can be guaranteed. At present, domestic and foreign scholars for the theory and technical analysis of stock market has been very common, study deeply and widely. However, it is worth noting that China's securities market restrictions are very complex, foreign scholars for its own securities Market research experience summary is not suitable for guiding Chinese investors to invest in practice, and the study of the stock market of our domestic scholars always confined to the stock price influence factors, to explore the scientific method of stock is less and less. Therefore, this paper intends to establish a new method for stock selection, I in the A stock market, so that it can correctly guide our investors to invest in practice. Good operation condition of listed company is a stock of stable income guarantee, so in the choice of stock, we should adhere to the correct concept of value investment. This paper will take the value investment theory as the starting point of this article. Will the factors affecting the volatility of the stock price to conduct a comprehensive and detailed analysis, after analysis, this article will select the quantitative indicators to establish the operation of listed companies from Business status evaluation index system. This article will use the SPSS software for principal component analysis of many indexes of the preliminary selection, in order to reduce the image dimensions, and results with the listed company's share price rose by regression analysis to determine the main influencing factors of the volatility of the stock price from the main factors, and these establish comprehensive factor score model. The empirical validation of stock based on the theoretical results found that the rising number of companies accounted for about 2/3 of the total number of all stocks, at the same time through the price ratio of, can also have some benefits. In the process of research and puts forward the specific selection model, this model can have a guidance for stock selection, on the other hand can also set up on the stock pool has a certain practical value. So this research has certain practical significance.

【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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