基于A股市场行业板块指数与上证指数相关性的投资策略研究

发布时间：2018-03-26 14:19

本文选题：行业板块　切入点：指数　出处：《云南师范大学》2014年硕士论文

【摘要】：中国A股市场伴随着上海、深圳交易所的成立开始日益繁荣，吸引着越来越多对资本市场渴求的参与者。二十多年来，对我国A股市场的研究，理论界形成了很多流派，有精通西方成熟理论的学者引进来的，也有国内独树一帜的，但是在资本市场没有万能的理论，本文是基于A股市场在弱市条件下怎样优化投资，首先是在研究行业板块的相关性的基础上，以2013年行业板块、上证指数日K收盘数据为依托，，研究行业板块与上证指数之间的相关系数，通过一元线性回归论证这相关系数与板块收益之间的关系；其次通过二元线性回归模型寻找异类行业板块，获得最大的超额收益；最后是通过随机抽取100只个股以及上证综指、深证成指实验，从2012年1月4日开始，记录连续500个交易日的收盘价数据，基于相关性，以收益率为目标函数，运用极致的方法，去寻找最佳的异类投资。最终从宏观上指导资本市场的风险管理和投资决策。
[Abstract]:With the establishment of the Shanghai and Shenzhen stock exchanges, the A-share market in China has become increasingly prosperous, attracting more and more participants who yearn for the capital market. For more than 20 years, the theoretical circle has formed many schools of study on the A-share market in China. Some scholars who are proficient in western mature theories have brought in, and there are also some unique ones in China, but there is no panacea theory in the capital market. This paper is based on how to optimize investment in the A-share market under the weak market conditions. First of all, on the basis of studying the relevance of the industry sector, based on the data of the industry sector and the Shanghai Stock Exchange Index closing in 2013, the correlation coefficient between the industry sector and the Shanghai Stock Exchange Index is studied. The relationship between the correlation coefficient and the income of the plate is demonstrated by linear regression of one variable. Secondly, the largest excess return is obtained by looking for the heterogeneous industry sector by using the binary linear regression model. Finally, 100 stocks and the Shanghai Composite Index are randomly selected. From January 4, 2012, Shenzhen stock index experiment recorded the closing price data of 500 consecutive trading days. Based on the correlation, the yield was taken as the objective function, and the extreme method was used. To find the best investment. Ultimately, from the macro direction of risk management and investment decisions in the capital market.
【学位授予单位】：云南师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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