本文選題：動(dòng)量效應(yīng) + 行業(yè)動(dòng)量��； 參考：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：動(dòng)量效應(yīng)是行為金融研究的一個(gè)熱點(diǎn)問題,并且對(duì)投資者也是一種主動(dòng)管理的投資方式。目前的中國(guó)股市還并不是很有效,從行為金融的角度來進(jìn)行量化研究具有重要的意義。 本文根據(jù)申銀萬國(guó)研究所制定的一級(jí)行業(yè)分類指數(shù),從行業(yè)動(dòng)量的角度對(duì)2001年-2009年的中國(guó)股市進(jìn)行了研究。研究結(jié)果表明,中國(guó)股市在短中期存在明顯的行業(yè)動(dòng)量效應(yīng),其中部分投資組合能獲得顯著的超額收益,具有較強(qiáng)的投資參考意義。分階段檢驗(yàn)結(jié)果表明,牛市的行業(yè)動(dòng)量效應(yīng)明顯大于熊市的行業(yè)動(dòng)量效應(yīng)。 此外,本文從行為金融理論的角度對(duì)行業(yè)動(dòng)量效應(yīng)的來源進(jìn)行了分析,考察了我國(guó)股市投資者結(jié)構(gòu)的變遷,以及各類投資者的行為偏差。投資者的行為偏差對(duì)行業(yè)動(dòng)量收益的表現(xiàn)形式具有明顯的影響。在對(duì)行業(yè)分類考察之后,我們發(fā)現(xiàn)周期類行業(yè)存在較為明顯的行業(yè)動(dòng)量效應(yīng),而非周期類行業(yè)則不明顯。 最后,本文通過對(duì)行業(yè)動(dòng)量實(shí)際交易策略進(jìn)行實(shí)證檢驗(yàn),結(jié)果表明行業(yè)動(dòng)量效應(yīng)投資策略可以獲得明顯的超額收益,即使考慮到交易費(fèi)用和賣空限制,只買入贏家組合的投資策略依然可以獲得較高的超額收益。這說明行業(yè)動(dòng)量投資策略具有明顯的實(shí)際操作意義。通過案例對(duì)目前股市的一些投資產(chǎn)品的投資策略和業(yè)績(jī)進(jìn)行分析,結(jié)果也可以從側(cè)面證明動(dòng)量投資策略的有效性。
[Abstract]:The momentum effect is a hot issue in behavioral finance, and it is also an active investment method for investors. The current Chinese stock market is not very effective. It is of great significance to carry out quantitative research from the perspective of behavioral finance.
Based on the first level industry classification index made by the Shenyin Wanguo Institute, this paper studies the Chinese stock market in the year of -2009 from the perspective of the momentum of the industry in 2001. The results show that there is a significant industry momentum effect in the short and medium term of China's stock market, in which some of the investment portfolios can gain significant excess returns and have a strong investment reference. The results show that the momentum effect of bull market is obviously greater than that of bear market.
In addition, this paper analyzes the source of the momentum effect of the industry from the perspective of behavioral financial theory, examines the changes in the structure of investors in China's stock market, and the behavioral deviations of various investors. The behavior deviation of investors has a significant influence on the form of the momentum income in the industry. There is obvious industry momentum effect in cyclical industries, but not in cyclical industries.
Finally, this paper empirically tests the actual trading strategy of the industry momentum. The results show that the industry momentum effect investment strategy can obtain obvious excess returns. Even considering the transaction cost and short selling limit, the investment strategy that only buys the winners can still obtain higher excess returns. This shows the industry momentum investment strategy. It has obvious practical significance. Through the analysis of the investment strategy and performance of some investment products in the stock market, the results can also prove the effectiveness of the momentum investment strategy from the side.

【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】：2012
【分類號(hào)】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 林松立,唐旭;中國(guó)股市動(dòng)量策略和反向策略投資績(jī)效之實(shí)證研究[J];財(cái)經(jīng)科學(xué);2005年01期

2 程兵,梁衡義,肖宇谷;動(dòng)量和反轉(zhuǎn)投資策略在我國(guó)股市中的實(shí)證分析[J];財(cái)經(jīng)問題研究;2004年08期

3 王志強(qiáng);王月盈;徐波;段諭;;中國(guó)股市動(dòng)量效應(yīng)的表現(xiàn)特征[J];財(cái)經(jīng)問題研究;2006年11期

4 劉少波,尹筑嘉;滬市A股過度反應(yīng)和反應(yīng)不足的實(shí)證研究[J];財(cái)經(jīng)理論與實(shí)踐;2004年02期

5 陳喬,汪_";我國(guó)股市的慣性效應(yīng):一個(gè)基于行業(yè)組合的實(shí)證研究[J];當(dāng)代財(cái)經(jīng);2003年12期

6 肖峻,陳偉忠,王宇熹;中國(guó)股市短期反轉(zhuǎn)策略實(shí)證研究[J];系統(tǒng)工程;2005年03期

7 吳世農(nóng),吳超鵬;我國(guó)股票市場(chǎng)“價(jià)格慣性策略”和“盈余慣性策略”的實(shí)證研究[J];經(jīng)濟(jì)科學(xué);2003年04期

8 徐信忠;鄭純毅;;中國(guó)股票市場(chǎng)動(dòng)量效應(yīng)成因分析[J];經(jīng)濟(jì)科學(xué);2006年01期

9 杜敏杰,林寅;行業(yè)動(dòng)量贏利性分析[J];經(jīng)濟(jì)與管理研究;2005年01期

10 王永宏,趙學(xué)軍;中國(guó)股市“慣性策略”和“反轉(zhuǎn)策略”的實(shí)證分析[J];經(jīng)濟(jì)研究;2001年06期

相關(guān)碩士學(xué)位論文 前3條

1 樊澎濤;中國(guó)股市的行業(yè)動(dòng)量交易策略研究[D];重慶大學(xué);2006年

2 石江偉;中國(guó)股市的行業(yè)動(dòng)量研究[D];汕頭大學(xué);2007年

3 張華;基于中信標(biāo)普指數(shù)的行業(yè)動(dòng)量策略研究[D];華中科技大學(xué);2006年

，

本文編號(hào)：1808333