本文選題：股票投資項(xiàng)目　切入點(diǎn)：系統(tǒng)性風(fēng)險(xiǎn)　出處：《北京郵電大學(xué)》2012年碩士論文

【摘要】：股票市場(chǎng)是宏觀經(jīng)濟(jì)發(fā)展?fàn)顩r的反映,具有宏觀經(jīng)濟(jì)“晴雨表”的功能,而股票投資始終面臨由于經(jīng)濟(jì)周期因素形成的系統(tǒng)性風(fēng)險(xiǎn),同時(shí),股票投資風(fēng)險(xiǎn)的識(shí)別和管理始終是現(xiàn)代金融研究的一個(gè)重要領(lǐng)域。 本文研究在宏觀經(jīng)濟(jì)波動(dòng)的情況下,識(shí)別股票投資面臨的風(fēng)險(xiǎn),并依據(jù)各行業(yè)與經(jīng)濟(jì)周期的敏感性,根據(jù)投資組合理論和中國(guó)宏觀經(jīng)濟(jì)發(fā)展的趨勢(shì),提出了以行業(yè)和產(chǎn)品同類(lèi)為基礎(chǔ),進(jìn)行股票投資組合,管理股票投資風(fēng)險(xiǎn)的思路；同時(shí),以2006-2010年為研究期間,選擇煤炭類(lèi)公司組合、稀有金屬類(lèi)公司組合、醫(yī)藥行業(yè)組合以及上述組合的簡(jiǎn)單平均組合和上證綜合指數(shù)為研究樣本,分別對(duì)上述樣本的股價(jià)變化特征、不同持有期間收益率的變化、p值、風(fēng)險(xiǎn)性質(zhì)、Sharp指數(shù)等進(jìn)行橫向比較。研究結(jié)果表明：煤炭類(lèi)公司的組合漲幅最高,其次是混合組合；在國(guó)家實(shí)施寬松的政策期間,煤炭類(lèi)公司組合和稀有金屬公司組合的漲幅遠(yuǎn)高于其余組合,投資者的投資行為發(fā)生了重大變化；作為周期型行業(yè)的煤炭類(lèi)公司投資組合業(yè)績(jī)最佳,其次是混合組合；持有期間對(duì)投資組合收益率、風(fēng)險(xiǎn)性質(zhì)以及組合投資評(píng)價(jià)的結(jié)果均產(chǎn)生重要影響。上述研究表明,通過(guò)行業(yè)經(jīng)濟(jì)周期的敏感性,并依據(jù)各行業(yè)對(duì)貨幣政策刺激的反映和該行業(yè)在未來(lái)國(guó)家經(jīng)濟(jì)發(fā)展中的基礎(chǔ)作用,構(gòu)建股票投資組合,進(jìn)行風(fēng)險(xiǎn)控制是可行的、有效的。
[Abstract]:The stock market is a reflection of macroeconomic development and has the function of "barometer" of macro-economy, while stock investment is always faced with systemic risks caused by economic cycle factors, at the same time, Stock investment risk identification and management has always been an important field of modern financial research. This paper studies the risk of stock investment under the condition of macroeconomic fluctuation, and according to the sensitivity of various industries and economic cycles, according to the portfolio theory and the trend of macroeconomic development in China. This paper puts forward the idea of carrying out stock portfolio and managing stock investment risk on the basis of the same kind of industry and products, and taking 2006-2010 as the research period, choosing coal company portfolio, rare metal company portfolio, etc. The pharmaceutical industry portfolio, the simple average combination of the above portfolio and the Shanghai Composite Index are the study samples. The change characteristics of the stock price, the change of the yield of the different holding period and the value of the return during the different holding period are respectively studied. The risk nature of the Sharp index is compared horizontally. The results show that coal companies have the highest increase in portfolio, followed by mixed ones; during the implementation of the country's loose policy, The increase of coal company portfolio and rare metal company portfolio is much higher than that of the other ones, and the investor's investment behavior has changed greatly; as a cyclical industry, coal company portfolio performance is the best, followed by mixed portfolio; The period of holding has a significant impact on the return on the portfolio, the nature of the risk, and the results of the portfolio evaluation. It is feasible and effective to construct the stock portfolio and control the risk according to the reflection of the monetary policy stimulus and the basic function of the industry in the future national economic development.
【學(xué)位授予單位】：北京郵電大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F124.8;F224

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