【摘要】：近年來(lái)，我國(guó)股市的市場(chǎng)化水平逐步提升，股市與實(shí)體經(jīng)濟(jì)間的關(guān)聯(lián)性增強(qiáng)，股市成熟度與美國(guó)日趨相近。參照美國(guó)股市投資經(jīng)驗(yàn)，越來(lái)越多的國(guó)內(nèi)投資者開(kāi)始從多種角度對(duì)股市規(guī)律進(jìn)行定量化研究。其中，行業(yè)輪動(dòng)規(guī)律自2004年美林證券提出投資時(shí)鐘理論以來(lái)，逐漸成為一個(gè)重要的研究熱點(diǎn)。本文通過(guò)總結(jié)當(dāng)前國(guó)內(nèi)外行業(yè)輪動(dòng)規(guī)律研究現(xiàn)狀，嘗試應(yīng)用聚類分析與小波分析結(jié)合的方法對(duì)我國(guó)2000年以來(lái)各行業(yè)間的輪動(dòng)規(guī)律進(jìn)行探索性研究。 研究結(jié)果顯示，我國(guó)股市在2008年金融危機(jī)前后發(fā)生了明顯的變化。2008年前適用于我國(guó)股市行業(yè)發(fā)展的規(guī)律變得模糊�；谶@一分析結(jié)果，本文選取2008年10月10日至2013年1月16日期間，申銀萬(wàn)國(guó)行業(yè)一級(jí)分類指數(shù)日收盤價(jià)，作為行業(yè)輪動(dòng)規(guī)律研究基礎(chǔ)。通過(guò)分析小波分解后各層級(jí)細(xì)節(jié)系數(shù)的周期性，確定了我國(guó)23個(gè)行業(yè)均存在多種長(zhǎng)度的周期，其中短時(shí)周期與工作日周期、月度周期等基本一致。在此基礎(chǔ)上，本文結(jié)合聚類分析，對(duì)小波分解得到的近似系數(shù)，即行業(yè)指數(shù)日收盤價(jià)序列的主要趨勢(shì)序列進(jìn)行了行業(yè)輪動(dòng)研究。研究發(fā)現(xiàn)，，在聚類得到的3類行業(yè)內(nèi)，僅有有色金屬與商用貿(mào)易、機(jī)械設(shè)備兩個(gè)行業(yè)之間表現(xiàn)出了較為穩(wěn)定的輪動(dòng)規(guī)律。而在3類行業(yè)間整體輪動(dòng)規(guī)律的研究中，發(fā)現(xiàn)以2009年5月為界限，三類行業(yè)在拐點(diǎn)后出現(xiàn)了極具差異性的變化，因此本文認(rèn)為股市存在大類行業(yè)板塊間的輪動(dòng)規(guī)律。
[Abstract]:In recent years, the marketization level of China's stock market has been gradually improved, the relationship between stock market and real economy has been strengthened, and the maturity of stock market has become closer and closer to that of the United States. Referring to U.S. stock market investment experience, more and more domestic investors begin to quantify the stock market law from various angles. Since Merrill Lynch put forward the investment clock theory in 2004, the law of industry rotation has gradually become an important research hotspot. In this paper, by summarizing the current research situation of wheel movement law in domestic and foreign industries, we try to apply the method of cluster analysis and wavelet analysis to explore the rotation law of different industries in China since 2000. The results show that the stock market of our country has changed obviously before and after the financial crisis of 2008, and the rules applicable to the development of the stock market industry before 2008 become blurred. Based on the results of this analysis, this paper selects the closing price of Shenyin Wanguo industry first class index from October 10, 2008 to January 16, 2013, as the basis of the research on the law of industry rotation. By analyzing the periodicity of the detail coefficients of each level after wavelet decomposition, it is determined that there are many kinds of cycles in 23 industries in China, in which the short period is consistent with the working day cycle and the monthly cycle and so on. On this basis, combined with cluster analysis, the approximate coefficients obtained by wavelet decomposition, that is, the main trend series of industry index daily closing price series, are studied in this paper. It is found that only non-ferrous metals and commercial trade, machinery and equipment show a relatively stable rotation rule in the three kinds of industries. In the study of the law of the whole wheel movement among the three industries, it is found that after the inflection point, the three kinds of industries have a very different change, so this paper thinks that there exists the law of rotation among the sectors of a large class of industries in the stock market.
【學(xué)位授予單位】：北京工商大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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