本文選題：股票市場(chǎng) + 牛熊市�。� 參考：《重慶工商大學(xué)》2017年碩士論文

【摘要】：動(dòng)量效應(yīng)作為金融市場(chǎng)中的異象之一,最早是在國(guó)外股票市場(chǎng)中被發(fā)現(xiàn)的,而后成為了金融研究的熱點(diǎn)問題,國(guó)外的學(xué)者對(duì)其進(jìn)行了大量的研究,試圖對(duì)其進(jìn)行合理的解釋。國(guó)內(nèi)學(xué)者針對(duì)我國(guó)股票市場(chǎng)也進(jìn)行了大量的實(shí)證研究,發(fā)現(xiàn)我國(guó)存在大量的動(dòng)量交易者,包括在市場(chǎng)上占了絕大部分的個(gè)人投資者和部分機(jī)構(gòu)投資者,一方面,他們不僅投資理念多變,心理承受能力也極差,缺乏系統(tǒng)的投資方法;另一方面,他們掌握信息不全,常常跟風(fēng)頻繁操作,經(jīng)常落得止損出場(chǎng),嚴(yán)重影響到了工作和生活,不利于社會(huì)的長(zhǎng)治久安。在此背景下,考慮到我國(guó)股票市場(chǎng)“政策市”下經(jīng)常表現(xiàn)出明顯的行業(yè)輪動(dòng)現(xiàn)象,本文試圖對(duì)行業(yè)動(dòng)量效應(yīng)及其投資策略進(jìn)行深入研究,以在理論上豐富動(dòng)量效應(yīng)相關(guān)理論研究,在實(shí)際中幫助投資者找到一種能夠穩(wěn)定獲利的投資策略。本文在研究了大量國(guó)內(nèi)外關(guān)于行業(yè)動(dòng)量效應(yīng)相關(guān)理論及其投資策略文獻(xiàn)資料的基礎(chǔ)上,針對(duì)我國(guó)股票市場(chǎng)中行業(yè)動(dòng)量效應(yīng)的存在性進(jìn)行實(shí)證檢驗(yàn),并對(duì)其投資策略進(jìn)行實(shí)證分析和優(yōu)化研究。首先,選取了我國(guó)股票市場(chǎng)上具有廣泛代表性和巨大影響力的上證綜指26年的周價(jià)格數(shù)據(jù),利用波峰波谷法劃分成了6個(gè)牛熊市階段并進(jìn)行了特征分析,發(fā)現(xiàn)隨著時(shí)間推移,股票市場(chǎng)波動(dòng)越來越小,牛熊周期更長(zhǎng),牛長(zhǎng)熊短現(xiàn)象更加明顯。其次,選取了市場(chǎng)使用最廣,影響力最大的通達(dá)信56個(gè)二級(jí)行業(yè)分類指數(shù)構(gòu)成樣本,樣本區(qū)間為2005年6月初至2016年12月底,單位為周,總共1318周;分別利用全樣本數(shù)據(jù)與牛熊市分段樣本數(shù)據(jù)對(duì)使用等權(quán)重法和重疊抽樣法構(gòu)建的行業(yè)動(dòng)量贏家組合投資策略進(jìn)行了實(shí)證分析,發(fā)現(xiàn)我國(guó)股票市場(chǎng)存在顯著的8周至16周的中期行業(yè)動(dòng)量效應(yīng)和一般顯著的3周至4周的短期行業(yè)動(dòng)量效應(yīng),在牛市市場(chǎng)下的動(dòng)量收益遠(yuǎn)高于熊市市場(chǎng)的動(dòng)量收益,表明我國(guó)股票市場(chǎng)還沒有完全進(jìn)入弱式有效市場(chǎng)。緊接著,利用同樣的全樣本數(shù)據(jù)對(duì)使用非重疊法構(gòu)建的行業(yè)動(dòng)量贏家組合投資策略進(jìn)行實(shí)證分析,發(fā)現(xiàn)存在一般顯著的12周到20周的中長(zhǎng)期行業(yè)動(dòng)量效應(yīng),平均超額收益率在2%左右,而投資策略在4周及以內(nèi)表現(xiàn)較好,累計(jì)收益較高,但回撤比較大。然后,在均線擇時(shí)技術(shù)的有效性得到驗(yàn)證后,在行業(yè)動(dòng)量組合投資策略中融入均線擇時(shí)技術(shù)進(jìn)行優(yōu)化處理,創(chuàng)造性地構(gòu)造出了行業(yè)擇時(shí)動(dòng)量組合投資策略,經(jīng)過實(shí)證分析和預(yù)測(cè)檢驗(yàn)后得到了最優(yōu)行業(yè)擇時(shí)動(dòng)量組合投資策略,其盈利能力大有提升,最大回撤值也降到了30%左右,具有較大的實(shí)際可操作性。最后一部分是結(jié)論與建議部分,著重介紹了本文所得到的結(jié)論和存在的問題,分別對(duì)證券市場(chǎng)上的投資者以及后續(xù)的研究者提出了合理的建議。本文的創(chuàng)新點(diǎn)主要有四個(gè),一是本文同時(shí)采用了全樣本和牛熊市分階段樣本對(duì)行業(yè)動(dòng)量效應(yīng)的存在性進(jìn)行實(shí)證檢驗(yàn)和對(duì)比分析;二是本文同時(shí)采用了重疊抽樣法和非重疊抽樣法構(gòu)建的行業(yè)動(dòng)量投資策略進(jìn)行實(shí)證研究和對(duì)比分析;三是研究了贏家組合包含的行業(yè)數(shù)目對(duì)行業(yè)動(dòng)量效應(yīng)存在性及其超額收益的影響,得出了贏家組合行業(yè)數(shù)目越少,動(dòng)量效應(yīng)越顯著,動(dòng)量收益也越高;四是本文對(duì)單純的行業(yè)動(dòng)量投資策略進(jìn)行了優(yōu)化研究和預(yù)測(cè)分析,得到了盈利能力和穩(wěn)定性更高的投資策略。
[Abstract]:As one of the anomalies in the financial market, momentum effect is first discovered in the foreign stock market, and then it has become a hot issue in the financial research. The foreign scholars have carried out a lot of research on it, trying to explain it reasonably. The domestic scholars have also conducted a large number of empirical studies on the stock market in China, and found me There are a large number of momentum traders in the country, including the majority of individual investors and some institutional investors in the market. On the one hand, they not only have variable investment ideas, poor psychological ability, and lack of systematic investment methods. On the other hand, they have poor information and often operate frequently and often end up in the field. In this context, in this context, considering that the "policy market" of China's stock market often shows obvious industry rotation, this paper tries to make a thorough study of the momentum effect and investment strategy of the industry in order to enrich the theoretical research of momentum effect theory in theory. On the basis of a large number of domestic and foreign literature on momentum effect related theories and their investment strategies, this paper empirically examines the existence of momentum effect in the stock market in China, and carries out an empirical analysis of its investment strategies. First, we select the weekly price data of the Shanghai stock market with wide representation and great influence in the stock market of China for 26 years, and make use of peak wave trough to divide into 6 bull bear markets and analyze the characteristics. It is found that as time goes on, the wave of the stock market is getting smaller, the cycle of the bull bear is longer and the bull is short. It is more obvious. Secondly, we select the 56 two level industry classification index of the most widely used and influential Maxim. The sample interval is from the beginning of June 2005 to the end of December 2016, the unit is week, and the total number is 1318 weeks. The empirical analysis of the industry momentum winner portfolio investment strategy shows that there is a significant momentum effect in the middle period of 8 to 16 weeks in the stock market and the short-term momentum effect of the general significant 3 to 4 weeks. The momentum yield under the bull market is far higher than the momentum income of the bear market, indicating that the stock market in China is not yet finished. All of them come into the weak effective market. Then, using the same total sample data to make an empirical analysis of the industry momentum winner portfolio investment strategy constructed by non overlapping method, it is found that there is a general significant momentum effect in the medium and long term industry from 12 to 20 weeks, with an average excess return of about 2%, and the investment strategy is more than 4 weeks and less. Well, the accumulative return is high, but the retracement is relatively large. Then, after the validity of the timing technology is verified, the optimization of the industry momentum portfolio investment strategy is integrated into the average timing technology, and the industry timing momentum portfolio investment strategy is creatively constructed, and the optimal industry selection has been obtained after the empirical analysis and the prediction test. The time momentum portfolio investment strategy has greatly improved its profitability, the maximum retracting value has also dropped to about 30%, and has a greater practical operability. The last part is the conclusion and the suggestion part. The conclusion and the existing problems are emphatically introduced, and the investors in the stock market and the follow-up researchers have been put forward respectively. There are four main innovation points in this paper. First, this paper uses the whole sample and the bull bear stage sample to carry out empirical test and contrast analysis on the existence of the momentum effect of the industry. Two, this paper uses the overlapping sampling method and the non overlapping sampling method to carry out empirical research and Analysis on the momentum investment strategy constructed by the non overlapping sampling method. The three is to study the influence of the number of industries involved in the winner's portfolio on the existence of the momentum effect and the excess income. The less the number of the winners, the more significant the momentum effect and the higher the momentum income, and the four is to optimize the research and forecast analysis of the simple industry momentum investment strategy and get the profit. Better ability and more stable investment strategy.

【學(xué)位授予單位】：重慶工商大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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本文編號(hào)：1858350