我国股票市场行业动量效应及其投资策略优化的实证研究

发布时间：2018-05-07 20:26

  本文选题：股票市场 + 牛熊市　； 参考：《重庆工商大学》2017年硕士论文

【摘要】：动量效应作为金融市场中的异象之一,最早是在国外股票市场中被发现的,而后成为了金融研究的热点问题,国外的学者对其进行了大量的研究,试图对其进行合理的解释。国内学者针对我国股票市场也进行了大量的实证研究,发现我国存在大量的动量交易者,包括在市场上占了绝大部分的个人投资者和部分机构投资者,一方面,他们不仅投资理念多变,心理承受能力也极差,缺乏系统的投资方法;另一方面,他们掌握信息不全,常常跟风频繁操作,经常落得止损出场,严重影响到了工作和生活,不利于社会的长治久安。在此背景下,考虑到我国股票市场“政策市”下经常表现出明显的行业轮动现象,本文试图对行业动量效应及其投资策略进行深入研究,以在理论上丰富动量效应相关理论研究,在实际中帮助投资者找到一种能够稳定获利的投资策略。本文在研究了大量国内外关于行业动量效应相关理论及其投资策略文献资料的基础上,针对我国股票市场中行业动量效应的存在性进行实证检验,并对其投资策略进行实证分析和优化研究。首先,选取了我国股票市场上具有广泛代表性和巨大影响力的上证综指26年的周价格数据,利用波峰波谷法划分成了6个牛熊市阶段并进行了特征分析,发现随着时间推移,股票市场波动越来越小,牛熊周期更长,牛长熊短现象更加明显。其次,选取了市场使用最广,影响力最大的通达信56个二级行业分类指数构成样本,样本区间为2005年6月初至2016年12月底,单位为周,总共1318周;分别利用全样本数据与牛熊市分段样本数据对使用等权重法和重叠抽样法构建的行业动量赢家组合投资策略进行了实证分析,发现我国股票市场存在显著的8周至16周的中期行业动量效应和一般显著的3周至4周的短期行业动量效应,在牛市市场下的动量收益远高于熊市市场的动量收益,表明我国股票市场还没有完全进入弱式有效市场。紧接着,利用同样的全样本数据对使用非重叠法构建的行业动量赢家组合投资策略进行实证分析,发现存在一般显著的12周到20周的中长期行业动量效应,平均超额收益率在2%左右,而投资策略在4周及以内表现较好,累计收益较高,但回撤比较大。然后,在均线择时技术的有效性得到验证后,在行业动量组合投资策略中融入均线择时技术进行优化处理,创造性地构造出了行业择时动量组合投资策略,经过实证分析和预测检验后得到了最优行业择时动量组合投资策略,其盈利能力大有提升,最大回撤值也降到了30%左右,具有较大的实际可操作性。最后一部分是结论与建议部分,着重介绍了本文所得到的结论和存在的问题,分别对证券市场上的投资者以及后续的研究者提出了合理的建议。本文的创新点主要有四个,一是本文同时采用了全样本和牛熊市分阶段样本对行业动量效应的存在性进行实证检验和对比分析;二是本文同时采用了重叠抽样法和非重叠抽样法构建的行业动量投资策略进行实证研究和对比分析;三是研究了赢家组合包含的行业数目对行业动量效应存在性及其超额收益的影响,得出了赢家组合行业数目越少,动量效应越显著,动量收益也越高;四是本文对单纯的行业动量投资策略进行了优化研究和预测分析,得到了盈利能力和稳定性更高的投资策略。
[Abstract]:As one of the anomalies in the financial market, momentum effect is first discovered in the foreign stock market, and then it has become a hot issue in the financial research. The foreign scholars have carried out a lot of research on it, trying to explain it reasonably. The domestic scholars have also conducted a large number of empirical studies on the stock market in China, and found me There are a large number of momentum traders in the country, including the majority of individual investors and some institutional investors in the market. On the one hand, they not only have variable investment ideas, poor psychological ability, and lack of systematic investment methods. On the other hand, they have poor information and often operate frequently and often end up in the field. In this context, in this context, considering that the "policy market" of China's stock market often shows obvious industry rotation, this paper tries to make a thorough study of the momentum effect and investment strategy of the industry in order to enrich the theoretical research of momentum effect theory in theory. On the basis of a large number of domestic and foreign literature on momentum effect related theories and their investment strategies, this paper empirically examines the existence of momentum effect in the stock market in China, and carries out an empirical analysis of its investment strategies. First, we select the weekly price data of the Shanghai stock market with wide representation and great influence in the stock market of China for 26 years, and make use of peak wave trough to divide into 6 bull bear markets and analyze the characteristics. It is found that as time goes on, the wave of the stock market is getting smaller, the cycle of the bull bear is longer and the bull is short. It is more obvious. Secondly, we select the 56 two level industry classification index of the most widely used and influential Maxim. The sample interval is from the beginning of June 2005 to the end of December 2016, the unit is week, and the total number is 1318 weeks. The empirical analysis of the industry momentum winner portfolio investment strategy shows that there is a significant momentum effect in the middle period of 8 to 16 weeks in the stock market and the short-term momentum effect of the general significant 3 to 4 weeks. The momentum yield under the bull market is far higher than the momentum income of the bear market, indicating that the stock market in China is not yet finished. All of them come into the weak effective market. Then, using the same total sample data to make an empirical analysis of the industry momentum winner portfolio investment strategy constructed by non overlapping method, it is found that there is a general significant momentum effect in the medium and long term industry from 12 to 20 weeks, with an average excess return of about 2%, and the investment strategy is more than 4 weeks and less. Well, the accumulative return is high, but the retracement is relatively large. Then, after the validity of the timing technology is verified, the optimization of the industry momentum portfolio investment strategy is integrated into the average timing technology, and the industry timing momentum portfolio investment strategy is creatively constructed, and the optimal industry selection has been obtained after the empirical analysis and the prediction test. The time momentum portfolio investment strategy has greatly improved its profitability, the maximum retracting value has also dropped to about 30%, and has a greater practical operability. The last part is the conclusion and the suggestion part. The conclusion and the existing problems are emphatically introduced, and the investors in the stock market and the follow-up researchers have been put forward respectively. There are four main innovation points in this paper. First, this paper uses the whole sample and the bull bear stage sample to carry out empirical test and contrast analysis on the existence of the momentum effect of the industry. Two, this paper uses the overlapping sampling method and the non overlapping sampling method to carry out empirical research and Analysis on the momentum investment strategy constructed by the non overlapping sampling method. The three is to study the influence of the number of industries involved in the winner's portfolio on the existence of the momentum effect and the excess income. The less the number of the winners, the more significant the momentum effect and the higher the momentum income, and the four is to optimize the research and forecast analysis of the simple industry momentum investment strategy and get the profit. Better ability and more stable investment strategy.

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

【参考文献】

中国期刊全文数据库 前10条

1 高波;任若恩;;基于主成分回归模型的行业轮动策略及其业绩评价[J];数学的实践与认识;2016年19期

2 史永东;宋西伟;谷佳音;;企业投资、股票收益期限结构和动量投资策略——基于中国股票市场的经验证据[J];证券市场导报;2016年08期

3 李志洋;刘园丽;韩愈;;动量与反转效应来源的分解——风格、行业与序列相关性[J];生产力研究;2014年08期

4 高秋明;胡聪慧;燕翔;;中国A股市场动量效应的特征和形成机理研究[J];财经研究;2014年02期

5 潘莉;徐建国;;A股个股回报率的惯性与反转[J];金融研究;2011年01期

6 赵萌;王海军;;反转效应、负反馈交易与股价波动——基于面板数据的开放式基金投资策略研究[J];产经评论;2010年05期

7 鲁臻;邹恒甫;;中国股市的惯性与反转效应研究[J];经济研究;2007年09期

8 刘博;皮天雷;;惯性策略和反转策略：来自中国沪深A股市场的新证据[J];金融研究;2007年08期

9 王志强;王月盈;徐波;段谕;;中国股市动量效应的表现特征[J];财经问题研究;2006年11期

10 徐信忠;郑纯毅;;中国股票市场动量效应成因分析[J];经济科学;2006年01期

中国硕士学位论文全文数据库 前10条

1 王雪华;行业因素对股票收益特征的影响及定价研究[D];天津大学;2014年

2 朱一佩;中国股市的行业动量效应研究[D];复旦大学;2014年

3 葛修坤;中国A股市场的行业动量效应及其影响因素研究[D];西南财经大学;2014年

4 兰俊;中国股市中小板市场反转效应实证研究[D];西南财经大学;2013年

5 蒋士杰;中国股市行业动量效应及其投资策略研究[D];复旦大学;2012年

6 陈克;中国A股市场的行业动量策略研究[D];复旦大学;2012年

7 柴菁敏;中国股市超短期动量效应和反转效应的实证研究[D];西南财经大学;2012年

8 陈志岗;中国A股市场行业动量效应实证研究[D];华南理工大学;2011年

9 王登元;中国股市中的行业动量效应研究[D];复旦大学;2011年

10 王之飞;中国中小板市场动量效应和反转效应研究[D];西南财经大学;2011年

，

本文编号：1858350