市场中性策略在我国的应用现状及效果研究

发布时间：2018-05-03 00:42

本文选题：对冲基金 + 对冲策略　；参考：《暨南大学》2013年硕士论文

【摘要】：2010年我国推出了融资融券与股指期货，投资机构开始将做空机制加入投资组合或新产品中，市场中性型产品迅速增加并有出色表现。通过规范分析法，本文首先分析市场中性策略的基本原理及收益风险特征，，进而分析市场中性策略在我国应用的必要性和可行性，再介绍该策略在我国的应用现状和三种主要应用机构的情况。实证分析方面，本文搜集了我国近两年的每周数据，运用收益评价方法、相关性检验和T-M模型、H-M模型、C-L模型进行实证分析。结果显示，第一，目前市场中性策略产品的收益一般，部分能在弱市中能够跑赢市场指数并获得一定绝对正收益，而在强势行情中无法超越市场指数，盈利能力不高；第二，大部分样本产品收益率与市场指数收益率存在较低的相关性，说明市场中性策略在一定程度上发挥出了在规避市场影响方面的效果。第三，詹森指数模型和三个管理能力评估模型对部分产品的分析显示确实有产品的择时能力比较欠缺，即控制产品的市场风险能力较差。本文最后得出的结论是，市场中性策略在我国的应用刚刚起步，市场中性策略无法充分发挥出作用，策略效果只有部分显现出来。基于这种现状，本文提出一些简要的建议并总结了本文的不足之处及未来发展方向。
[Abstract]:In 2010, China introduced margin financing and stock index futures, and investment institutions began to add short selling mechanism to portfolio or new products. Market neutral products increased rapidly and showed outstanding performance. Through normative analysis, this paper first analyzes the basic principle of market neutral strategy and the characteristics of profit risk, and then analyzes the necessity and feasibility of market neutral strategy application in China. The present situation of the application of the strategy in China and the situation of the three main application organizations are also introduced. In the aspect of empirical analysis, this paper collects the weekly data of our country in recent two years, uses the income evaluation method, the correlation test and the T-M model to carry on the empirical analysis with the H-M model and the C-L model. The results show that, first, at present, the return of market neutral strategy products is general, some of them can outperform the market index and obtain a certain absolute positive return in the weak market, while in the strong market they cannot surpass the market index, so their profitability is not high; second, There is a low correlation between the return rate of most sample products and the return rate of market index, which indicates that the market neutral strategy plays an important role in evading the market influence to a certain extent. Thirdly, the analysis of Jensen index model and three management ability evaluation models on some products shows that there is a lack of timing ability of some products, that is, the market risk control ability of products is poor. The conclusion of this paper is that the application of market neutral strategy in our country is just beginning, the market neutral strategy can not play a full role, and the effect of the strategy is only partially apparent. Based on this situation, this paper puts forward some brief suggestions and summarizes the shortcomings and future development direction of this paper.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5

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