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  本文選題：A股熊市特征 + 市內率��； 參考：《湘潭大學》2017年碩士論文

【摘要】：我國證券市場自1990年恢復至今的近30年時間里,已經歷了多次牛熊市轉變,市場波動非常巨大;相應的公募基金業(yè)績波動也尤為顯著,主要原因是其擇時擇股能力較差所致。故此,如何解決公墓基金的擇時擇股能力問題,是其面臨的最大難題,但現有文獻基本未對此進行深入研究。文章通過導師構建的股市泡沫模型(市內率模型)和相關指標的趨勢分析對熊市低谷股票市場的波動特征進行總結。在針對2005-2016年上證A股1125家上市公司的市內率、股權集中度、產業(yè)資本與財務資本增減持、封閉式基金折溢價等預測指標進行測算和趨勢分析后,數據表明:第一,熊市低谷點調整前后市內率趨近于1且在1之間小幅度波動,因此市場泡沫較低或幾乎不存在。第二,在四次熊市低谷點股權高度集中,其中產業(yè)資本變動與市場趨勢一致,因產業(yè)資本為實體企業(yè)投資,注重長期投資,其波動較小;財務資本則因進出市場靈活,波動較大。第三,封閉式基金整體折價水平較高,且市內率越小,折價水平越高。綜合表明熊市低谷期間內在價值具有有效性,以市內率為基礎的相關指標分析能總結熊市股票市場的波動特征。文章進而依據市場整體波動特征和分析方法對H-S-H基金的倉位控制、累計收益率走勢、加權漲跌幅、持股周期進行分析,研究發(fā)現該基金整體擇時能力較弱,擇股能力相對較強。針對H-S-H基金存在的擇時能力較弱,擇時擇股綜合表現的整體收益波動較大等問題,文章建議機構和個體投資者應以財務估值為基礎,通過股市泡沫模型和輔助指標的趨勢分析進行有效的價值投資。具體分析一方面應加強基金公司和基金經理的價值投資意識,通過財務估值模型對價值股進行識別。另一方面通過市內率等輔助指標對市場整體波動趨勢進行分析,從而根據市場整體波動和個股投資價值進行投資決策,以避免投資者的盲目投資和從眾心理�，F有的研究主要是通過參數法對牛熊市階段基金的擇時擇股能力進行檢驗,文章以財務估值模型為基礎對上證A股整體內在價值進行測算,進一步通過股市泡沫模型(市內率模型)等指標對市場泡沫程度和市場波動進行趨勢分析,據此對案例基金的擇時擇股能力進行剖析,從而引導機構和個體投資者如何進行擇時擇股。
[Abstract]:In the nearly 30 years since the stock market was recovered in 1990, the stock market has experienced many bull and bear market changes, and the market volatility is very large, and the corresponding performance fluctuation of public offering funds is particularly remarkable, mainly due to its poor ability to choose stock at the time.Therefore, how to solve the problem of cemeteries fund's ability of timing and stock selection is the biggest problem it faces, but the existing literature has not studied this problem deeply.This paper summarizes the volatility characteristics of bear market trough stock market by using the stock market bubble model (the city rate model) and the trend analysis of related indicators.After calculating and analyzing the city rate, ownership concentration, industrial capital and financial capital increase and decrease, closed-end fund premium and so on, the data show that: first,Before and after the adjustment of the low point of bear market, the rate of the city approaches to 1 and fluctuates by a small margin between 1, so the market bubble is low or almost non-existent.Second, at the low point of the four bear markets, stock ownership is highly concentrated, in which industrial capital changes are consistent with market trends, because industrial capital is a physical enterprise investment, focusing on long-term investment, and its volatility is relatively small; financial capital is flexible because of its access to and exit from the market.It fluctuates greatly.Third, the closed-end fund as a whole discount level is higher, and the smaller the city rate, the higher the discount level.It is concluded that the intrinsic value of bear market is effective during the period of low valley of bear market, and the volatility characteristics of bear market stock market can be summed up by the analysis of relevant indexes based on the city rate.According to the characteristics of the market volatility and the analysis method, the paper analyzes the H-S-H fund's position control, cumulative yield trend, weighted rise and fall, and stock holding cycle. It is found that the overall timing ability of the fund is relatively weak and the stock selection ability is relatively strong.In view of the weak timing ability of H-S-H funds and the large volatility of the overall income of the comprehensive performance of timing and stock selection, this paper suggests that institutions and individual investors should base themselves on financial valuation.Through the stock market bubble model and the auxiliary index trend analysis to carry on the effective value investment.On the one hand, the value investment consciousness of fund companies and fund managers should be strengthened, and the value stocks should be identified by financial valuation model.On the other hand, through the analysis of the market fluctuation trend through the auxiliary index such as the city rate, the investment decision can be made according to the whole market fluctuation and the value of the individual stock investment, so as to avoid the blind investment and the herd psychology of the investors.The existing research is mainly through the parameter method to test the timing and stock selection ability of the bull bear stage fund. Based on the financial valuation model, the paper calculates the overall intrinsic value of the A shares of Shanghai Stock Exchange.Further, through the stock market bubble model (city rate model) and other indicators to market bubble degree and market volatility trend analysis, according to the case fund timing and stock selection ability to analyze,So as to guide institutions and individual investors how to choose stock timing.
【學位授予單位】：湘潭大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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相關碩士學位論文 前1條

1 張格;基于A股熊市特征的H-S-H基金擇時擇股能力研究[D];湘潭大學;2017年

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本文編號：1758924