本文關(guān)鍵詞： 雙邊關(guān)系緊張 事件驅(qū)動投資策略 累積異常收益率　出處：《華南理工大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著我國證券市場的快速發(fā)展，因重大新聞事件導(dǎo)致股票價格發(fā)生重大變化的例子屢見不鮮。通過對這些事件發(fā)出的信號進(jìn)行分析、跟蹤，以及對歷史數(shù)據(jù)分析以探求內(nèi)在一定的規(guī)律性，有利于投資者獲得超額收益。研究事件驅(qū)動的證券市場波動和相關(guān)個股變化，對投資者構(gòu)筑投資策略有著重要意義。 歷史證明，美國911事件、奧運會效應(yīng)等重大事件引發(fā)的股價波動，，會帶來異常收益。而在眾多的事件當(dāng)中，雙邊關(guān)系緊張是驅(qū)動證券市場波動的特殊事件之一。日本釣魚島事件引發(fā)了中日關(guān)系緊張、黃巖島爭議引發(fā)了中菲關(guān)系緊張、邊界沖突引發(fā)了中印關(guān)系緊張等等，此類事件往往不同程度的作用于證券市場。隨著對外投資、貿(mào)易等雙邊經(jīng)濟(jì)活動的日漸活躍，雙邊關(guān)系狀況會對中國實體經(jīng)濟(jì)產(chǎn)生一定影響，進(jìn)而影響證券市場。從中日雙方力量相當(dāng)?shù)默F(xiàn)實情況來看，中日雙方?jīng)_突將呈現(xiàn)常態(tài)化趨勢，沖突的解決并非是一朝一夕的事，會具有較長的拉鋸期，這就使得研究雙邊關(guān)系緊張對證券市場的影響具備實踐意義。 本文旨在研究中日關(guān)系高度緊張事件對中國證券市場的宏觀影響和局部影響，并根據(jù)上述事件研究的成果，得出具有比較優(yōu)勢的投資策略。首先用對比分析、歸納分析的方法研究事件對證券市場的宏觀影響，然后用事件研究的方法、分類比較、回歸分析、統(tǒng)計分析的方法來分析事件對特定類型個股的局部影響，最后用趨勢分析、對比分析的方法來研究事件驅(qū)動的投資策略的制定要素。
[Abstract]:With the rapid development of China's securities market, there are many examples of major changes in stock prices caused by major news events. By analyzing and tracking the signals sent out by these events, The analysis of historical data is helpful for investors to obtain excess returns. It is of great significance for investors to study the volatility of the stock market driven by events and the changes of individual stocks. History has proved that fluctuations in stock prices caused by major events such as the 9 / 11 events in the United States, the Olympic Games effect, and so on, will bring abnormal returns. And among the many events, Bilateral tension is one of the special events driving the volatility of the securities market. The Diaoyu Islands incident in Japan has triggered tensions between China and Japan, the dispute over Huangyan Island has caused tension between China and the Philippines, and border conflicts have caused tensions between China and India, and so on. Such events often affect the securities market to varying degrees. As bilateral economic activities such as outward investment and trade become increasingly active, the state of bilateral relations will have a certain impact on China's real economy. And then affect the securities market. Judging from the fact that the strength of China and Japan is equal, the conflict between China and Japan will show a trend of normality, and the settlement of the conflict will not take place overnight, and it will have a longer period of sawing. This makes it of practical significance to study the impact of bilateral tension on the securities market. The purpose of this paper is to study the macro and partial influence of the high tension between China and Japan on China's securities market. According to the results of the above mentioned research, the investment strategy with comparative advantage is obtained. The methods of inductive analysis are used to study the macro impact of events on the stock market, and then the methods of event research, classification and comparison, regression analysis and statistical analysis are used to analyze the local effects of events on specific types of stocks. Finally, the trend analysis is used. The method of comparative analysis is used to study the elements of event-driven investment strategy.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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