我国A股市场行业板块轮动现象的实证研究

发布时间：2018-01-05 11:23

  本文关键词：我国A股市场行业板块轮动现象的实证研究　出处：《浙江工商大学》2017年硕士论文　论文类型：学位论文

  更多相关文章： A股市场 行业板块轮动 聚类分析 生命周期理论

【摘要】：自二十世纪末以来,证券市场中的行业板块轮动现象一直以来都是受到了极大的关注,通过翻阅之前的研究文献,以及关注这些年市场上出现的基金公司,会发现行业轮动的现象已经很大程度上被机构投资者或者小型的私募机构所关注,而我国的证券市场其实也是存在着这样的一种行业轮动现象。无论是在理论领域,还是应用到实践的过程中,都可以找到关于行业轮动现象的研究,有的甚至作为课题或者是投资研究领域的一个方面,然后,伴随着证券市场本身不断地发展,对于证券市场的研究也进入到了更加细分的领域,包括研究方法的进步、采用的研究工具,作为证券市场研究的一个细分领域,即行业轮动现象的研究也不断地增添了新的内容。随着我国的经济发展,以及资本市场的不断深化改革,在资本市场上我国的机构投资者和个人投资规模也在不断地扩大,对于其中的机构投资者来说,为了降低投资风险,不会在进行投资配置时只专注于单个股票,而是会分开投资,尽量保持稳健地投资风格,此时,在行业板块上的投资就显得比较关键。我国国内也是从2003年以来建立了首只关于行业板块的基金,也就成立了康宝消费品行业基金,这也标志着我国国内关于行业基金拉开了序幕。自此,国内关于行业基金的发展也是如雨后春笋,日益增多,当然相对于我国国内的市场,仍然有很大的发展空间。全文一共分为五章,第一章为绪论部分,本章第一节首先介绍了本文的研究背景,描述了国内证券市场的发展情况,接着介绍了选取这个选题的理论意义与实际意义。在第二节中提到了本文具体的研究内容、研究方法以及本文可能在研究中所取得的创新点与研究过程中出现的难点问题,最后一部分就是本文的结构框架;第二章为文献综述及相关理论,本章主要介绍了文献综述与关于板块轮动的相关理论。文献综述中,对国内外的一些研究做了概述,以及对这些研究做了有关的评述。相关理论部分主要介绍了生命周期理论与美林投资时钟理论;第三章为我国A股市场行业板块轮动现状分析,本章主要对A股市场行业板块轮动的现状进行了分析,第一部分先介绍了分析背景。第二部分介绍了 A股市场行业板块轮动的特征事实,包括数据的选取,A股市场的几个不同发展阶段以及不同发展阶段下的行业板块轮动现象。在第三部分,介绍了行业板块轮动的原因。第四章为行业板块轮动的实证部分,先是介绍了板块轮动的实证研究方法,接着结合实证研究方法对A股市场行业轮动现象做聚类分析,最后是对A股市场行业轮动现象进行进一步的分析。第五章为结论部分,介绍了本文的研究结论以及未来对未来研究方向的展望。通过本文对于我国A股市场行业板块轮动现象的研究,得到以下结论:(1)根据前面章节的实证分析结果,发现行业轮动现象在我国的A股市场上确实是存在的,并且,不同市场趋势下面的行业轮动的效果也是不同的,尤其是在上涨的趋势下,行业板块的轮动现象比较明显,相对来说,比在下跌过程的表现更加明显;(2)根据聚类分析方法得到的结果可以得到,消费类行业与强周期类行业的板块轮动现象比较明显,中周期类与消费类的轮动并不是那么明显,在部分特定的市场趋势下才能够表现出来;(3)日累计收益率平均相关系数较大的行业板块,大部分是在产业的中下游,可以发现行业轮动的效果并不是特别明显,相反相关系数比较小的行业板块,反而能够取得优异的表现,其中大部分是周期类的行业;(4)在不同经济周期阶段的行业板块轮动现象基本上是可以采用美林投资时钟理论来进行解释,但是这种描述是比较抽象的,同时也不是特别的充分。本文可能的创新点主要有:现有的关于行业板块轮动的研究大部分是认为在我国的A股市场上,已经是存在行业轮动这样的现象事实,然后根据美林投资理论作为已有的基础来对自身所研究的问题进行研究,同时,国内研究行业板块轮动理论因素大部分是进行定性分析,很少涉及到定量分析,而本文的创新点在于根据不同的A股市场各行业不同阶段的绩效表现来进行具体的比较分析,与此同时本文通过对我国国内不同阶段的行业表现来验证美林投资时钟理论是否在我国的证券市场是可行的。
[Abstract]:Since the end of the twentieth Century, the industry Bankuailundong phenomenon has been attracted great attention in the stock market, through the study of literature reading before, and pay attention to these years appearing on the market, fund companies will find the phenomenon of wheeled industry has largely been institutional investors or small private institutions concerned. China's securities market is actually there is such an industry wheeled phenomenon. Whether in the theory field, or applied to the practice of the process, can be found on the sector rotation phenomenon, there is even as a subject or an investment, research field and then, along with the securities the market continues to develop, for the study of the stock market has entered into more segments of the field, including the advancement of studying methods, the research tools, as the stock market research A study on the industry segments, namely rotation phenomenon will continue to add new content. With the development of China's economy, and the deepening reform of capital market, the capital market of China's institutional investors and individual investment scale is constantly expanding, for in the institutional investors, in order to to reduce the investment risk, not only in the investment allocation focus on individual stocks, but will try to maintain a separate investment, prudent investment style, at the same time, in the industry sector investment becomes more critical. Our country is from 2003 since the establishment of the first on the industry sector funds, also set up a Canbo consumer goods the fund industry, which indicates that China's domestic fund industry began. Since then, about the development of domestic fund industry is also increasing, such as bamboo shoots after a spring rain, of course, for my country The market still has great development space. This paper is divided into five chapters, the first chapter is the introduction, the first section introduces the research background, describes the development situation of the domestic stock market, and then introduces the theoretical significance and practical significance of the selected topic. In section second referred to specific the research contents, research methods and the difficulties may be made in the study of the innovation and research process, structure of the last part of this paper is; the second chapter is literature review and related theories, this chapter mainly introduces the literature review about Bankuailundong related theories in the literature review. And some studies at home and abroad are summarized, and the research on the related theories review. Part mainly introduces the life cycle theory and investment clock theory; the third chapter China's A stock market industry Bankuailundong situation analysis, this chapter focuses on the A stock market industry Bankuailundong the status of the analysis, the first part introduces the background of the analysis. The second part introduces the A stock market industry Bankuailundong characteristic facts, including data selection, the phenomenon of industry Bankuailundong A stock market the several different stages of development and under different stages of development. In the third part, introduced the industry Bankuailundong reasons. The fourth chapter is the empirical part of the industry Bankuailundong, first introduced Bankuailundong empirical research methods, research methods and combining the real card to A market sector rotation phenomenon clustering analysis, finally further analysis of A stock market sector rotation phenomenon. The fifth chapter is the conclusion part, the paper introduces the research conclusion and future directions for future research. Through this article for A stock market in China Study on the phenomenon of industry Bankuailundong market, obtained the following conclusions: (1) according to the empirical analysis of the previous chapter, found that the sector rotation phenomenon exists in our country, the A stock market and the effect under different market trends to move round the industry is different, especially in the rising trend next, the industry sector rotation phenomenon is quite obvious, relatively speaking, more obvious than fall in the performance of the process; (2) according to the clustering analysis results can be obtained, Bankuailundong phenomenon of consumer industries and strong cyclical industries more obvious in the period and consumer rotation is not so obviously, market trends in specific parts can be demonstrated; (3) the cumulative rate of return on the industry average correlation coefficient of large plates, mostly in the middle and lower reaches of the industry, can be found in the industry moving round the effect is not particularly obvious On the contrary, the correlation coefficient is relatively small industry sector, it can achieve excellent performance, most of which are cyclical industries; (4) plate in the different stages of the economic cycle industry wheeled phenomenon basically is can be explained by the investment clock theory, but this description is more abstract, but also not very good. The possible innovations of this paper are: the existing research on the industry Bankuailundong most is that in China A stock market, there is industry round such a phenomenon, then conducts the research, according to Merrill Lynch Investment Theory as the basis of their research problems at the same time most of the domestic research, industry Bankuailundong theoretical factors are qualitative analysis, rarely involved in the quantitative analysis, the innovation of this paper lies in the A stock market according to different industries in different stages In order to verify whether Merrill's investment clock theory is feasible in China's stock market, this paper conducts a specific comparative analysis on the performance. Meanwhile, this paper verifies whether Merrill's investment clock theory is feasible in China's stock market by analyzing the industry performance at different stages in China.

【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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