我国证券市场风格指数的隐含周期研究

发布时间：2018-03-06 21:07

本文选题：风格投资　切入点：市场意象　出处：《吉林财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着中国股票市场的发展，市场上越来越多的股票存在，单一的研究一只股票并进行预测已不能满足投资的需要，从而风格投资则越来越受到机构投资者的关注。二十世纪六十、七十年代，法玛所提出了“有效市场假说”，随着各国学者深入的研究，发现了各种传统金融理论无法解释的“市场异象”，随着学术界对“市场异象”的深入研究，风格投资的理论雏形开始建立。对风格投资理论进行了一定的充实。本文则是基于这些学者研究内容的基础上，对上证指数，大盘股指数，小盘股指数，价值股指数，成长股指数进行深入的研究，发掘其中的隐含周期，利用气象学应用的谱分析方法，从大量信息中发现隐含周期。本文选取的是上证指数，申银万国大盘股指数，，申银万国小盘股指数，中信价值股指数，中信小盘股指数，选取的区间从2000年1月4日到2011年6月29日的数据，利用奇异谱分析的计算原理，把原始数据进行分解，通过Kendall检验判断趋势项并去除，之后重构数据，再次利用奇异谱分析，通过特征值的关系来判断剔除趋势项之后数据的周期，利用得到的周期，通过SPSS软件对方程与系数进行检验，最后结合三角函数的变化公式，计算出五种指数的相位并换算成天数，与上证指数的相位进行对比，得出不同风格与上证指数的领先之后关系。本文的创新点在于以前的学者风格投资具有较强的实际应用价值，因此本领域一直是投资理论研究的热点。从现有的国内外研究成果分析，风格投资的研究具有两个发展趋势：一是基于市场数据对于风格投资规律更加细致全面的实证分析，包括投资风格的生命周期研究、风格轮换周期研究以及风格轮换影响因素的研究。二是对于风格投资的理论解释，这属于行为金融理论范畴。本论文旨在利用数据来研究规律，尚未涉及到对于风格投资存在机理的研究，而这一研究内容需要行为金融的研究进展。实际上，理论上的突破取决于实证研究的进展。
[Abstract]:With the development of Chinese stock market, more and more stocks exist in the market. In 20th century, 60 and 70s, Fama put forward the efficient Market hypothesis. "Market anomalies", which can not be explained by various traditional financial theories, have been discovered. With the in-depth study of "Market anomalies" in academic circles, The theory of style investment is beginning to be established. It enriches the theory of style investment. This paper is based on the research content of these scholars, on the basis of the index of Shanghai Stock Exchange, the index of large-cap stocks, the index of small-cap stocks, the index of value stocks. The growth stock index is studied deeply, and the hidden period is found from a large amount of information by using the spectral analysis method applied in meteorology. This paper selects the Shanghai stock index, the Shenyin Wanguo large-cap index, the Shenyin Wanguo small-cap index, the Citic value index, the Citic small-cap index, and the data from January 4th 2000 to June 29th 2011. Using the calculation principle of singular spectrum analysis, the original data is decomposed, the trend term is judged and removed by Kendall test, then the data is reconstructed, and the singular spectrum analysis is used again. The relationship of eigenvalue is used to judge the period of data after the trend item is eliminated. The obtained period is used to test the equation and coefficient by SPSS software. Finally, the variation formula of trigonometric function is combined. The phase of the five indices is calculated and converted into days, and compared with the phase of Shanghai Stock Exchange Index, the relationship between different styles and the leading index of Shanghai Stock Exchange Index is obtained. The innovation of this paper is that the former scholars' style investment has strong practical application value, so this field has always been the hot spot of investment theory research. The research of style investment has two development trends: one is a more detailed and comprehensive empirical analysis of style investment law based on market data, including the life cycle study of investment style. The second is the theoretical explanation of style investment, which belongs to the category of behavioral finance. The research on the existence mechanism of style investment has not been involved. In fact, the theoretical breakthrough depends on the progress of empirical research.
【学位授予单位】：吉林财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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