本文關(guān)鍵詞：融資融券交易下的新投資策略研究　出處：《重慶大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 融資融券 初始保證金 Markov鏈 預(yù)期收益率 實(shí)際收益率

【摘要】：本文對(duì)利用融資融券交易的證券投資策略進(jìn)行了研究。在一系列假設(shè)條件下構(gòu)建了Markov鏈模型作為股票價(jià)格的預(yù)測(cè)模型，建立了一個(gè)新的風(fēng)險(xiǎn)度量函數(shù)CRNC，即在沒(méi)有保證金追繳通知的條件下達(dá)到預(yù)期收益這一條件事件的概率來(lái)控制投資者面臨的風(fēng)險(xiǎn)。并對(duì)中國(guó)股票市場(chǎng)上僅用現(xiàn)金作抵押的融資融券交易進(jìn)行了檢驗(yàn)，結(jié)果表明此策略能獲得高收益，體現(xiàn)了新策略的優(yōu)越性。 本文選取了上海證券交易所（SSE）上市180只股票中的符合要求的155只股票進(jìn)行研究，結(jié)果表明，新策略的投資收益都是比較高的，，最優(yōu)策略的實(shí)際月收益率益達(dá)到了6.02%。投資者的收益與預(yù)期收益率正相關(guān)，與風(fēng)險(xiǎn)度量值CRNC負(fù)相關(guān)，較大收益率對(duì)應(yīng)的初始保證金比例維持在60%-70%這一區(qū)間水平。投資者根據(jù)實(shí)際情況選擇預(yù)期收益率和風(fēng)險(xiǎn)控制水平，體現(xiàn)了新策略的動(dòng)態(tài)靈活性。
[Abstract]:In this paper, the securities investment strategy using margin trading is studied. Under a series of assumptions, the Markov chain model is constructed as the stock price prediction model. A new risk measurement function, CRNC, is established. That is, the probability of reaching the expected return under the condition of no margin recovery notice to control the risk faced by investors. The paper also tests the margin trading with only cash as collateral in Chinese stock market. . The results show that this strategy can achieve high returns, which reflects the superiority of the new strategy. In this paper, 155 stocks of 180 stocks listed on Shanghai Stock Exchange are selected for study. The results show that the investment returns of the new strategy are all relatively high. The real monthly rate of return of the optimal strategy reaches 6.02. The return of investors is positively correlated with the expected rate of return, and negatively correlated with the risk measure CRNC. The initial margin ratio of larger yield is kept in the range of 60-70%. According to the actual situation, investors choose the expected rate of return and risk control level, which reflects the dynamic flexibility of the new strategy.
【學(xué)位授予單位】：重慶大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.51;F224

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