本文關鍵詞：基于“投資時鐘”視角的中國A股積極行業(yè)配置模型研究　出處：《東北財經大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 投資時鐘 經濟周期 行業(yè)配置 動態(tài)資產配置

【摘要】：自20世紀90年代以來,國際金融市場在短短二十年內發(fā)生了一系列重大事件：1994年墨西哥金融危機、1998年東南亞金融危機、2000年納斯達克網絡經濟泡沫破裂以及2008年由美國次貸危機引發(fā)的全球金融危機。受經濟和金融危機的影響,各國先后遭受了不同程度的經濟震蕩,我國同樣也未能免受其害。尤其2008年的美國次貸危機重創(chuàng)了我國經濟,使我國的經濟增長出現(xiàn)了大幅的下滑。同時,我國股票市場也經歷了劇烈的震動,從6124點的最高點急劇下跌至1815點,縮水幅度高達70%。目前,隨著各項救市政策的出臺和實施,我國的經濟形勢正逐步好轉并趨于回暖,經歷著從嚴重衰退到穩(wěn)步復蘇的過程。 那么,面對經濟形勢的快速變化,如何在經濟周期的交替中把握股票市場的變動,如何在股市的漲跌波動中把握各個行業(yè)變動的規(guī)律,做好行業(yè)配置就成了一個十分重要的問題。本文試圖從美林證券“投資時鐘”理論的視角上來解決這一個問題,通過構建適用于我國A股市場積極行業(yè)配置模型,來為廣大投資者提供較為有效的投資指南。 本文在闡述了投資時鐘模型及行業(yè)配置理論的基礎上,首先,對我國的經濟周期進行了劃分,并對我國經濟增長與股票市場之間的關系進行了實證檢驗,發(fā)現(xiàn)自2005年6月完成股權分置改革后,我國的股價指數(shù)與經濟增長呈現(xiàn)出較為顯著的正相關關系和協(xié)整關系,這為下文中根據(jù)經濟周期進行股票行業(yè)配置提供了邏輯基礎。其次,分別從股票市場層面和實體經濟層面進行實證研究,在股票市場中各行業(yè)在不同的經濟階段中的收益表現(xiàn)具有較大差異,存在較為明顯的行業(yè)輪動現(xiàn)象；在實體經濟中,通過量化計算各行業(yè)對GDP及利率的敏感性大小,進一步明確行業(yè)特性,發(fā)現(xiàn)和驗證了行業(yè)變動順序和傳導機制；然后據(jù)此構造我國A股市場的“投資時鐘”模型。再次,根據(jù)前文分析,構建適用于我國A股市場的積極行業(yè)配置模型,并在考慮我國已經啟動融資融券交易的市場背景之下,相應地在投資模型中引入做空機制。通過實證檢驗發(fā)現(xiàn),我國A股市場的積極行業(yè)配置模型能夠較為有效地幫助投資者正確選擇股票行業(yè),同時,隨著做空機制的引入,模型能夠有效提高投資收益,使投資者獲得獲得超過市場大盤的更高的超額回報。最后,根據(jù)中國股市存在的問題,針對我國股票市場的投資者提出一些投資建議,有效指導其投資行為。 本文的創(chuàng)新點主要有以下三點： 第一,采用“投資時鐘”模型的視角,將經濟周期與行業(yè)配置相結合進行研究。我國對于行業(yè)配置領域的研究主要集中在行業(yè)貢獻方面的測定和行業(yè)動量策略方面,而將經濟周期與行業(yè)配置聯(lián)系起來的研究較少。但眾所周知,影響資產收益最為核心的因素仍然是經濟層面所決定的基本面因素,因此,根據(jù)經濟周期進行行業(yè)配置研究是十分必要的。 第二,在行業(yè)配置上側重量化研究。在國內已有的研究中,關于在不同經濟階段中的行業(yè)輪動規(guī)律,從理論層面上的定性分析較多,而從實證層面的定量研究非常少。本文著重量化研究,對不同經濟階段各行業(yè)的收益表現(xiàn)、各個行業(yè)對GDP的敏感性、對利率的敏感性都進行了定量檢測,劃分出GDP敏感行業(yè)和利率敏感行業(yè)。這對深入揭示行業(yè)間傳導機制和輪動規(guī)律具有重要作用。 第三,引入做空機制,構建了積極行業(yè)配置模型。2010年3月31日,我國融資融券業(yè)務正式啟動,為市場增加了做空機制。根據(jù)這一市場背景,本文在投資模型中引入做空機制,使得模型更貼近中國證券市場的現(xiàn)狀,以一種更加適應中國市場的視角,關注市場波動周期中的行業(yè)配置問題。
[Abstract]:Since 1990s, the international financial market has undergone a series of major events in a short period of twenty years: 1994 Mexico financial crisis, Southeast Asian financial crisis in 1998, 2000, the NASDAQ Internet economy bubble burst and the 2008 U.S. subprime mortgage crisis triggered by the global financial crisis. Affected by the economic and financial crisis, countries have suffered different degrees of economic shocks in our country, also not from them. Especially in 2008 the U.S. subprime mortgage crisis hit the economy of our country, China's economic growth has declined drastically. At the same time, China's stock market has also experienced a severe shock, from the highest point of 6124 points fell sharply to 1815, has shrunk by up to 70%. at present, with the introduction of bailout policies and the implementation of China's economic situation is gradually improved and tends to pick up, experiencing a steady recovery from the severe recession Process.
So, faced with the rapid changes in the economic situation, how to grasp the stock market in the alternate economic cycle of changes in the industry, how to grasp the various changes in the laws in the price fluctuations in the stock market, good industry configuration has become a very important problem. The paper tries to solve this problem from the Merrill Lynch Investment clock from the perspective of the theory, by constructing suitable allocation model of China A stock market positive industry, to provide a more effective investment guide for the majority of investors.
This paper describes the basic model and configuration of industry investment clock theory, first of all, on China's economic cycle has been divided, and the relationship between China's economic growth and stock market empirically, found that since June 2005 after the reform of non tradable shares of stock price index and economic growth of our country presents is a significant positive correlation and cointegration relationship, this is the following according to the economic cycle of the stock industry provides a logical basis for allocation. Secondly, respectively for empirical research from the stock market level and the level of the real economy, the stock market in various industries in different stages of the economic benefits of significant differences is obvious sector rotation; in the real economy, through quantitative calculation of sensitivity of the various sectors of the GDP and the interest rate, to further clarify the industry characteristics, discovery and validation of the industry Change order and transmission mechanism; then we construct the A stock market in China "investment clock" model. Thirdly, according to the above analysis, the positive sector allocation model applicable to the construction of A stock market in China, and in consideration of China's margin trading market has been launched under the background of the introduction of the short mechanism in investment model. Through the empirical study, positive industry allocation model of China A stock market can effectively help investors choose the right stock industry, at the same time, with the introduction of the short mechanism, the model can effectively improve the return on investment, to enable investors to get access to more than the market has a higher excess return. Finally, according to the Chinese of the existence of the stock market the problem, according to China's stock market investors to put forward some suggestions, effectively guide the investment behavior.
The main innovation points of this paper are the following three points:
First, the "investment clock" model from the perspective of the economic cycle and industry configuration combination were studied. And determination of industry momentum strategy research for configuration industry in China mainly focused on the contribution of the industry, the economic cycle research and industry configuration linked less. But as everyone knows, factors that affect the return on assets the core is still the fundamental level is determined by economic factors, therefore, according to the economic cycle of the industry configuration is very necessary.
Second, the weight of the upper configuration in the industry. In the domestic researches, in different economic stages in wheeled industry rules, more analysis from qualitative theory, from the quantitative empirical research is very few. This paper weight research on different stages of economic returns by industry and the sensitivity of each industry to GDP, the interest rate sensitivity of quantitative detection, divided into GDP sensitive industries and interest rate sensitive industries. This industry for revealing the conduction mechanism and the rotation law plays an important role.
Third, the introduction of the short mechanism, build the model of.2010 positive industry allocation in March 31st, China officially launched the margin trading business, increase the short selling mechanism for the market. According to the market background, the introduction of the short mechanism in the investment model, which makes the model more close to the status quo of China securities market, with a more adapt to the market Chinese from the perspective of allocation of attention in the industry market fluctuations.

【學位授予單位】：東北財經大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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