本文選題：行業(yè)輪動(dòng) + 貨幣周期��； 參考：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：改革開發(fā)以來中國經(jīng)濟(jì)經(jīng)歷了一輪飛速的發(fā)展,也誕生了一大批富人階級(jí),隨著年齡和財(cái)富的增長(zhǎng),這部分人的保值增值的理財(cái)需求正逐漸增長(zhǎng)。而2008年的次貸危機(jī)也使人們更清晰的認(rèn)識(shí)到資本市場(chǎng)的殘酷,資產(chǎn)配置理論也就順應(yīng)著時(shí)代的召喚,正式進(jìn)入中國。但是由于國內(nèi)外經(jīng)濟(jì)的發(fā)展階段、增長(zhǎng)模式的差異,決定了一些國外運(yùn)用比較成熟的理念在中國不能實(shí)現(xiàn)預(yù)期的效果,我們急需一些更有中國特色的經(jīng)濟(jì)理論和指標(biāo)來指導(dǎo)我們的投資,貨幣周期理論即是其一。 本文主要分為四部分。第一部分介紹了本文的研究背景及意義,第二部分是對(duì)前人有關(guān)貨幣周期理論、資產(chǎn)配置理論的一些文獻(xiàn)綜述及本文創(chuàng)新點(diǎn)的闡述,第三部分則是我們的實(shí)證研究部分,主要包括我國過去13年貨幣周期的劃分、周期性行業(yè)和非周期性行業(yè)的判斷及相應(yīng)指數(shù)的編制、此外還分別通過描述性統(tǒng)計(jì)的方法和構(gòu)建含虛擬變量的時(shí)間序列進(jìn)行貨幣周期下行業(yè)輪動(dòng)策略有效性的檢驗(yàn)以及該模型對(duì)于未來時(shí)期收益率的預(yù)測(cè),第四部分則主要是根據(jù)上文分析得出的一些結(jié)論和建議。本文運(yùn)用比較可行的貨幣周期劃分方法,通過兩類行業(yè)指數(shù)的編制,貨幣周期指導(dǎo)下的行業(yè)輪動(dòng)投資策略和市場(chǎng)收益率的比較,最后進(jìn)行描述統(tǒng)計(jì)及時(shí)間序列模型的構(gòu)建,說明通過貫徹執(zhí)行貨幣周期指導(dǎo)下的投資策略,確實(shí)可以獲得遠(yuǎn)勝于市場(chǎng)回報(bào)的收益率,為以后進(jìn)行資產(chǎn)配置提供一些新的思考和借鑒。
[Abstract]:Since the reform and development of China's economy has experienced a rapid development, but also the birth of a large number of rich class, with the increase of age and wealth, this part of the people's financial needs to maintain and increase value is gradually increasing. However, the subprime mortgage crisis in 2008 also makes people realize the cruelty of capital market more clearly, and the theory of asset allocation also conforms to the call of the times and formally enters China. However, due to the stage of economic development at home and abroad and the differences in growth patterns, it is decided that some mature concepts used abroad cannot achieve the expected results in China. We need more Chinese economic theories and indicators to guide our investment, including currency cycle theory. This paper is divided into four parts. The first part introduces the research background and significance of this paper. The second part is the literature review of the previous monetary cycle theory, asset allocation theory and the innovation of this paper. The third part is our empirical research part. It mainly includes the division of monetary cycles in the past 13 years, the judgment of cyclical and non-cyclical industries and the compilation of corresponding indices. In addition, by using descriptive statistical method and constructing time series with virtual variables, the validity of industry rotation strategy under the monetary cycle and the prediction of the return rate in the future period are tested, respectively. The fourth part is mainly based on the above analysis of some conclusions and recommendations. This paper uses the feasible method of currency cycle division, through the compilation of two kinds of industry indexes, the comparison of the investment strategy and the market return rate under the guidance of the currency cycle, finally carries on the description statistics and the time series model construction. It is shown that through carrying out the investment strategy under the guidance of currency cycle, we can really obtain a rate of return far better than the market return, and provide some new thinking and reference for the asset allocation in the future.
【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)】：F224;F822.2

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本文編號(hào)：1926718