寻找明日之星—股市中板块轮动的统计分析及在投资中的应用研究

发布时间：2019-03-06 12:46

【摘要】：热点切换,板块轮动是股市中一个常见的现象,投资者梦寐以求的是能够预先寻找到未来可能有优良表现的板块,提前布局。本文研究的主要目的如下：希望通过较为系统的方法,确定明星板块与股指指数是否具有一些独特的关系,也就是能否从明星板块与股指之间的相关关系中寻找到一些蛛丝马迹；此外由于我国目前特殊的T+1交易制度,在发现一个明星板块之后,能否具备投资价值,还得看该板块持续为明星的时间,因此本文还系统研究在不同的市场环境之下,从统计上来看明星板块的持续时间,究竟具有什么规律。本文安排如下,首先第一章对我国股市的发展背景进行了回顾以及本文研究的出发点,并对我国的交易制度进行了简单的介绍。第二章简析了板块轮动与经济周期的关系,分为国外的经济周期和国内的经济周期,阐述了我国的板块轮动与经济周期的关系。第三章对投资分析做了重点介绍,首先介绍了有效市场理论和分形市场理论,并对它们之间的关系和区别进行了整理。然后对当今流行的投资策略进行系统的总结和分类,最后对技术分析做了重点介绍,介绍了道氏理论、波浪理论以及板块轮动理论。第四章是本文的重点,对明星板块进行了全面深入的分析,然后又用聚类分析对板块进行分类。最后得出我国市场存在着板块轮动速度过快以及投机现象,明星板块的概率较低,如果单独考虑一个板块时,明星效应的时间会延长,也就说连续三天涨幅为正的概率大增。总的来说我国股市虽然有明显的板块轮动现象,但是板块轮动频率比较快,投资者如果追随板块轮动进行投资风险较大。
[Abstract]:Hot spot switching, plate rotation is a common phenomenon in the stock market, investors' dream is to be able to find the future may have a good performance of the plate, ahead of schedule. The main purposes of this study are as follows: we hope to determine whether there is some unique relationship between the star plate and the stock index through a more systematic method. That is to say, whether we can find some clues from the relationship between the star plate and the stock index; In addition, due to China's current special T-1 trading system, after the discovery of a star plate, whether or not it has investment value, it also depends on the time that the plate continues to be a star, so this paper also systematically studies under different market conditions, From the statistical point of view, the duration of the star plate, after all, what is the law. This paper is arranged as follows. The first chapter reviews the development background of China's stock market and the starting point of this paper, and gives a brief introduction to the trading system of our country. The second chapter briefly analyzes the relationship between plate rotation and economic cycle, divided into foreign economic cycle and domestic economic cycle, and expounds the relationship between plate rotation and economic cycle in China. The third chapter focuses on the analysis of investment. Firstly, it introduces the efficient market theory and fractal market theory, and sorts out the relationship and difference between them. Then it makes a systematic summary and classification of the current popular investment strategies, and finally introduces the technical analysis, including Dow's theory, wave theory and plate rotation theory. The fourth chapter is the focus of this paper, the star plate is thoroughly analyzed, and then cluster analysis is used to classify the plate. Finally, it is concluded that there are plate rotation speed and speculation phenomenon in our market, the probability of star plate is low, if a single plate is considered, the time of star effect will be prolonged, that is to say, the probability of positive increase for three days in a row will be greatly increased, that is, if we consider a plate alone, the time of star effect will be prolonged. In general, although the stock market of our country has obvious plate rotation phenomenon, but the plate rotation frequency is relatively fast, if the investor follows the plate rotation to carry on the investment risk is bigger.
【学位授予单位】：海南师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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