發(fā)布時(shí)間：2018-01-06 11:08

  本文關(guān)鍵詞：中國(guó)股票市場(chǎng)風(fēng)格投資、聯(lián)動(dòng)性和收益率預(yù)測(cè)　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 風(fēng)格投資 聯(lián)動(dòng)性 收益率預(yù)測(cè) Fama-MacBeth回歸

【摘要】：大量研究表明股票市場(chǎng)上存在著諸多市場(chǎng)異象現(xiàn)象,在非有效市場(chǎng)和存在金融異象的理論研究支持下,風(fēng)格投資開始在全球范圍內(nèi)盛行。對(duì)于機(jī)構(gòu)投資者來(lái)說(shuō),風(fēng)格投資為其提供了一種有效地進(jìn)行資產(chǎn)配置和風(fēng)險(xiǎn)管理的方法。隨著國(guó)內(nèi)機(jī)構(gòu)投資者的增多以及投資者財(cái)富水平和認(rèn)知能力的提升,風(fēng)格投資也逐漸得到國(guó)內(nèi)投資者的接受和重視。國(guó)外研究表明,風(fēng)格投資組合的收益率(簡(jiǎn)稱風(fēng)格收益率)在一定程度上對(duì)股票的收益率具有預(yù)測(cè)作用,本文則試圖利用中國(guó)A股市場(chǎng)上從2001年至2012年間的股票數(shù)據(jù)來(lái)驗(yàn)證該觀點(diǎn)在中國(guó)市場(chǎng)上是否成立。 結(jié)合中國(guó)股票市場(chǎng)具有行業(yè)輪動(dòng)現(xiàn)象的實(shí)際情況,本文創(chuàng)造性地根據(jù)股票所在的行業(yè)對(duì)股票進(jìn)行風(fēng)格的劃分,在此基礎(chǔ)上運(yùn)用Fama-MacBeth回歸方法,來(lái)研究風(fēng)格收益率對(duì)股票收益率的可預(yù)測(cè)性問(wèn)題。實(shí)證研究發(fā)現(xiàn)在國(guó)內(nèi)A股市場(chǎng)上風(fēng)格收益率對(duì)股票收益率具有一定的預(yù)測(cè)作用。對(duì)實(shí)證結(jié)果進(jìn)行穩(wěn)定性檢驗(yàn)發(fā)現(xiàn)這種預(yù)測(cè)作用在2001年到2005年這個(gè)子區(qū)間內(nèi)不是很顯著,而在2006年到2012年這個(gè)子區(qū)間上是顯著的。此外,本文還研究了股票收益率和風(fēng)格收益率之間的聯(lián)動(dòng)性對(duì)股票收益率可預(yù)測(cè)性的影響,研究結(jié)果發(fā)現(xiàn)當(dāng)股票收益率和風(fēng)格收益率之間的聯(lián)動(dòng)性越強(qiáng)時(shí),風(fēng)格收益率對(duì)股票收益率的預(yù)測(cè)效果越好。
[Abstract]:A large number of studies show that there are many market anomalies in the stock market. With the support of the theory of non-efficient market and financial anomalies, style investment is beginning to prevail around the world. Style investment provides it with an effective approach to asset allocation and risk management. With the increase of domestic institutional investors and the improvement of their wealth level and cognitive ability. Style investment has gradually been accepted and valued by domestic investors. Foreign studies show that the return rate of style portfolio (short for style return) to a certain extent has a predictive effect on the return of stocks. This paper tries to use the stock data from 2001 to 2012 in China's A-share market to verify whether this view is valid in the Chinese market. Combined with the actual situation that the Chinese stock market has the phenomenon of industry rotation, this paper creatively divides the style of the stock according to the industry in which the stock is located. On this basis, Fama-MacBeth regression method was used. The empirical study found that the stylistic rate of return has a certain predictive effect on the stock yield in the domestic A-share market. The prediction effect is not significant in the subrange from 2001 to 2005. From 2006 to 2012, it is significant. In addition, this paper studies the relationship between stock return and style return on the predictability of stock return. The results show that the stronger the linkage between the stock return and the style return, the better the forecasting effect of the style return on the stock return.
【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;F832.51

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本文編號(hào)：1387583