本文選題：風(fēng)險(xiǎn)事件 + 投資策略　； 參考：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：投資者在進(jìn)行證券投資時(shí)面臨最重要的問(wèn)題是挑選證券、合理配置以及抓住合適的買賣時(shí)機(jī)鎖定收益。積極的投資組合管理可以通過(guò)充分的分散化投資達(dá)到規(guī)避非系統(tǒng)性風(fēng)險(xiǎn)的效果。然而完備精細(xì)的投資組合策略在上行的系統(tǒng)風(fēng)險(xiǎn)下是否還具有抵抗力?當(dāng)遭遇不同類型的風(fēng)險(xiǎn)事件時(shí),是否有行之有效的投資策略與之對(duì)應(yīng)以保住收益,使投資者不再手足無(wú)措的面對(duì)損失?近年來(lái),隨著資本市場(chǎng)的不斷完善和發(fā)展,股指期貨、融資融券相繼引入,豐富了投資策略的選擇和構(gòu)建,這些工具能在多大程度上幫助投資者規(guī)避風(fēng)險(xiǎn),保住收益? 資本市場(chǎng)對(duì)風(fēng)險(xiǎn)事件的反應(yīng)提供了一條研究的線索,順著這條線索梳理和探索將有助于構(gòu)建風(fēng)險(xiǎn)事件下的投資組合策略。 本文根據(jù)引發(fā)風(fēng)險(xiǎn)事件的來(lái)源將風(fēng)險(xiǎn)事件劃分為自然災(zāi)害風(fēng)險(xiǎn)事件、經(jīng)濟(jì)風(fēng)險(xiǎn)事件和政治風(fēng)險(xiǎn)事件并相應(yīng)的選取汶川地震、次貸危機(jī)和十八大的換屆選舉作為相關(guān)領(lǐng)域的研究對(duì)象,以各個(gè)行業(yè)的板塊指數(shù)作為構(gòu)建投資策略的依據(jù)。經(jīng)過(guò)實(shí)證分析發(fā)現(xiàn)： (1)風(fēng)險(xiǎn)事件對(duì)A股市場(chǎng)有極大地負(fù)沖劑效應(yīng)。將事件劃分為事件發(fā)生前、事件發(fā)生期間和事件發(fā)生后三個(gè)時(shí)期,發(fā)現(xiàn)汶川地震、次貸危機(jī)和十八大換屆選舉在事件發(fā)生期間收益率都出現(xiàn)了明顯地下降。汶川地震在事件發(fā)生后的收益率下降的趨勢(shì)更加顯著；由于受到政府行為的干預(yù),次貸危機(jī)和十八大換屆選舉在事件發(fā)生后的收益率水平基本和事件發(fā)生期間持平,而在次貸危機(jī)后,由于受到政府四萬(wàn)億救市計(jì)劃的提振作用,風(fēng)險(xiǎn)資產(chǎn)組合的收益率達(dá)到了7.4%,超過(guò)了無(wú)風(fēng)險(xiǎn)資產(chǎn)收益率3.2%,這對(duì)投資者具有積極的借鑒意義。 (2)從投資收益的角度看,自然、經(jīng)濟(jì)、政治三類風(fēng)險(xiǎn)事件中,通過(guò)積極的組合管理,風(fēng)險(xiǎn)資產(chǎn)組合可以獲得超過(guò)無(wú)風(fēng)險(xiǎn)資產(chǎn)收益率的情形僅發(fā)生在次貸危機(jī)發(fā)生后；風(fēng)險(xiǎn)資產(chǎn)組合收益率相對(duì)較高的期間還發(fā)生在地震災(zāi)害期間以及十八大召開(kāi)后的一段時(shí)間；從風(fēng)險(xiǎn)大小的角度看,風(fēng)險(xiǎn)資產(chǎn)標(biāo)準(zhǔn)差的最大值出現(xiàn)在次貸危機(jī)發(fā)生期間,其次是自然災(zāi)害發(fā)生一周后,最后是十八大召開(kāi)期間。綜合來(lái)看,收益最大值出現(xiàn)在次貸危機(jī)發(fā)生情況下,對(duì)應(yīng)的風(fēng)險(xiǎn)也最大,這也符合了收益越大,風(fēng)險(xiǎn)越大的規(guī)律。 (3)由于不同行業(yè)對(duì)系統(tǒng)風(fēng)險(xiǎn)的敏感度不同,板塊指數(shù)的起伏也呈現(xiàn)明顯差異。但是在重大風(fēng)險(xiǎn)事件發(fā)生時(shí),基建類和能源類板塊具有明顯的支撐效果,而金融類的如銀行和券商板塊,體現(xiàn)出較大的彈性,在重大風(fēng)險(xiǎn)事件發(fā)生前具有領(lǐng)漲作用,但是當(dāng)遭遇到風(fēng)險(xiǎn)事件后其下降也極為迅速。
[Abstract]:The most important problem for investors to invest in securities investment is to select securities, rationally configure and seize the right time to lock the profits. The active portfolio management can achieve the effect of avoiding non systematic risk by fully decentralized investment. However, the complete and fine portfolio strategy is in the upper system risk. Is there a resistance? In the case of different types of risk events, is there an effective investment strategy to protect the income and make the investors no longer in the face of loss? In recent years, with the continuous improvement and development of the capital market, stock index futures and financing have been introduced in succession, enriching the choice of investment strategies. And to what extent can these tools help investors avoid risks and keep profits?
A clue to the response of the capital market to the response of risk events is that combing and exploring this clue will help to build portfolio strategies under risk events.
According to the source of risk events, this paper divides the risk events into natural disaster risk events, the economic risk events and political risk events and the corresponding selection of Wenchuan earthquake, the subprime mortgage crisis and the eighteen major exchange elections as the research object in the related fields, and take the plate index of each industry as the basis for the construction of investment strategy. Through the empirical analysis, it is found that:
(1) the risk events have a great negative impact on the A stock market. The events were divided into the events before the event, the event occurred and the events occurred in three periods. The Wenchuan earthquake was found, the subprime crisis and the eighteen major elections were obviously reduced during the event. The Wenchuan earthquake was under the rate of return after the event. The downward trend is more significant; due to the intervention of government behavior, the subprime crisis and the eighteen major election after the events were basically flat after the event, and after the subprime crisis, the return of the risk asset portfolio reached 7.4% due to the boost by the government's four trillion bailout plan. Risk-free assets yield 3.2%, which has a positive reference for investors.
(2) from the point of view of investment income, in the three types of risk events of nature, economy and politics, through active combination management, the risk asset portfolio can get more than the risk-free asset rate only after the subprime crisis, and the period of the relatively high rate of return on risk assets also occurs during the period of earthquake disaster and eighteen After a period of time, from the point of view of the risk, the maximum value of the standard deviation of the risk assets appeared during the subprime crisis, followed by a week of natural disasters and the last eighteen period. The greater the interest, the greater the risk.
(3) because the sensitivity of different industries to system risk is different, the fluctuation of plate index also shows significant differences. But in the event of major risk events, the infrastructure and energy sectors have obvious support effects, while the financial sector, such as banks and brokerage firms, shows greater elasticity and has a leading rise before major risk events. But when it comes to risk events, its decline is also very fast.

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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