跳躍擇時結(jié)合動量策略和反轉(zhuǎn)策略的盈利性研究
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本文關鍵詞:跳躍擇時結(jié)合動量策略和反轉(zhuǎn)策略的盈利性研究 出處:《廈門大學》2014年碩士論文 論文類型:學位論文
更多相關文章: 跳躍風險 擇時 動量策略 反轉(zhuǎn)策略
【摘要】:股市的動量效應和反轉(zhuǎn)效應一直是學術界和業(yè)界比較熱衷的話題之一,但以往的所有相關研究或者投資策略基本上都只從選股一個方面切入。一方面在股市存在動量或者反轉(zhuǎn)效應的基礎上,如果我們能夠找到至少精確到某一日的時間點使得投資者能夠?qū)ξ磥淼拇蟊P走勢做出相對可信的預測,從而能夠在相對正確的時間點再通過執(zhí)行動量策略或者反轉(zhuǎn)策略來選股,使得動量和反轉(zhuǎn)策略的表現(xiàn)得到加強將是非常有意義的;另一方面,國內(nèi)學者的研究很少涉及跳躍應用的問題,無論是學術界還是業(yè)界幾乎還沒有研究者把跳躍行為結(jié)合到投資策略中并且作為擇時的指標研究過其在中國股票市場的表現(xiàn)。因此,本文首先通過實證檢驗研究跳躍風險衡量指標對中國股市表現(xiàn)的預測能力,在此基礎上再將跳躍與動量效應和反轉(zhuǎn)效應相結(jié)合,利用跳躍作為建倉信號,利用動量策略和反轉(zhuǎn)策略來選股,考察新策略的表現(xiàn)并與純策略進行對比。 在策略執(zhí)行之前,本文通過實證檢驗發(fā)現(xiàn)文章選取的幾個指標都有一定的預測能力,其中符號跳躍變差的預測能力相對最佳。在包含一個相對完整市場周期的十年樣本期間內(nèi),再以上證A股所有股票作為股票池執(zhí)行新的策略。從策略表現(xiàn)上看,首先,在大樣本期間下,無論是跳躍擇時結(jié)合動量策略還是跳躍擇時結(jié)合反轉(zhuǎn)策略,比起純策略都有很大的優(yōu)越性。另外,將跳躍擇時結(jié)合反轉(zhuǎn)策略的情況與結(jié)合動量策略的情況作對比,發(fā)現(xiàn)結(jié)合反轉(zhuǎn)策略后的策略表現(xiàn)明顯比結(jié)合動量策略具有更大的優(yōu)勢。另外,本文在原有的跳躍擇時結(jié)合動量和反轉(zhuǎn)策略基礎上試圖在投資組合成份股個數(shù)、滯后期、大小盤等幾個方面對新策略作出改進,發(fā)現(xiàn)調(diào)整成分股的個數(shù)可以明顯提升策略的表現(xiàn);而滯后期的加入只能讓策略的收益率表現(xiàn)變差;限定了小盤股后,新策略的表現(xiàn)也得到了提升。
[Abstract]:The momentum effect and reversal effect of the stock market has been one of the academic and industry are more interested in the topic, but all previous related research or investment strategy basically only from one aspect of stock entry. On the one hand in the presence of momentum or reverse effect on the stock market, if we can find at least one day time accurate to that investors can make a credible prediction on future market trend, which can in a relatively correct time again through the implementation of momentum strategies and contrarian strategies to stock selection, the momentum and contrarian strategy performance will be strengthened is very significant; on the other hand, domestic scholars rarely jump application problems, both academic and industry researchers have almost no binding to the jump behavior of investment strategy and as the selection index of the China the performance of the stock market. Therefore, this paper through empirical study jump risk measure the ability to predict Chinese stock market performance, and then will jump in combination with the momentum effect and reversal effect, by jumping as Jiancang signal, using the momentum strategy and contrarian strategy to stock selection, study new strategies and performance compared with the pure strategy.
In the strategy execution before, through empirical testing found several indicators the article selected has a certain predictive ability, the ability to predict the variation of symbol jump relative best. During contains a relatively complete market cycle within ten years of the sample, then the above card A shares of all stock as the stock pool implementation of the new strategy. From a strategic point of view, first of all, in the sample period, both jump timing strategy combining with the momentum reversal strategy or jump timing, compared with pure strategy has great superiority. In addition, the jump timing with reversal strategy comparison and combination of momentum strategies, it was found that the combination of Contrarian strategy the strategy obviously has more advantages than the combination of momentum strategies. In addition, based on the original jump timing combination of momentum and contrarian strategy based on a number of attempts in the portfolio of stocks, lag In order to improve the performance of the new strategy, it is found that adjusting the number of constituent stocks can significantly improve the performance of the strategy, while the lag lag can only make the performance of the strategy worse. After defining the small cap stocks, the new strategy has also been improved.
【學位授予單位】:廈門大學
【學位級別】:碩士
【學位授予年份】:2014
【分類號】:F832.51;F224
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