【摘要】：行業(yè)配置策略是在動態(tài)分析股票行業(yè)因素基礎(chǔ)上,根據(jù)時段選擇最優(yōu)行業(yè),不斷改變資產(chǎn)組合中的行業(yè)成分,以獲得超額收益的一種資產(chǎn)配置方式。行業(yè)配置策略作為一種積極的股票投資策略,強(qiáng)調(diào)從時間跨度上觀察行業(yè)間的收益變化,實時調(diào)整股票組合中不同行業(yè)的比例,是一個動態(tài)和長期的配置過程。 行業(yè)配置的研究一直以來都是實踐先于理論。實踐部門中行業(yè)配置的應(yīng)用無處不在,反襯到理論研究中卻是寥寥無幾。巨大反差的背后是行業(yè)配置應(yīng)用的廣闊前景和行業(yè)配置理論體系的尷尬地位。行業(yè)配置屬于資產(chǎn)配置的一部分,但研究方法差異較大。資產(chǎn)配置的研究內(nèi)容更多集中在微觀金融市場,行業(yè)配置卻需要集宏觀經(jīng)濟(jì)、中觀行業(yè)和微觀市場于一體,難度可見一斑。 本文在借鑒前人研究基礎(chǔ)上,嘗試性地融合宏觀方法和微觀方法進(jìn)行行業(yè)配置研究。文章的前半部分整理行業(yè)配置相關(guān)文獻(xiàn),包括宏觀的經(jīng)濟(jì)周期理論、中觀的產(chǎn)業(yè)演進(jìn)理論和微觀的投資組合理論三個層面,并結(jié)合中國經(jīng)濟(jì)特性構(gòu)建出行業(yè)配置的理論框架。而后分析A股市場的行業(yè)表現(xiàn)及背后機(jī)理,從中長期和短期兩個時間跨度提出相應(yīng)的策略選擇。 文章的后半部分采用實證研究,驗證中長期策略和短期策略的施行細(xì)節(jié)。,中長期行業(yè)配置采用基于經(jīng)濟(jì)周期和產(chǎn)業(yè)演進(jìn)的配置策略,通過收益和風(fēng)險的實證分析,得出中長期配置應(yīng)遵從的三個理念：價值投資、順勢而為、控制風(fēng)險。短期行業(yè)配置采用基于領(lǐng)滯關(guān)系的配置策略,通過Granger因果檢驗和VAR脈沖響應(yīng)分析方法,得出短期行業(yè)配置應(yīng)當(dāng)注意的三個要點：重點關(guān)注的指標(biāo)行業(yè)、領(lǐng)滯關(guān)系強(qiáng)弱的參照作用、領(lǐng)滯關(guān)系的作用時間。
[Abstract]:On the basis of dynamic analysis of stock industry factors, industry allocation strategy is a kind of asset allocation method, which selects the optimal industry according to the period of time, and constantly changes the industry component in the asset portfolio to obtain excess return. As an active stock investment strategy, the industry allocation strategy emphasizes that it is a dynamic and long-term process to observe the change of the industry income from the time span and to adjust the proportion of different industries in the stock portfolio in real time. Industry allocation research has always been practice before theory. The application of industry configuration in practice department is ubiquitous, but the contrast to theoretical research is very few. Behind the huge contrast is the broad prospect of industry allocation application and the awkward position of industry allocation theory system. Industry allocation is a part of asset allocation, but the research method is quite different. The research content of asset allocation is more concentrated in the micro financial market, but the industry allocation needs to integrate the macro economy, the meso industry and the micro market, so the difficulty can be seen. On the basis of previous studies, this paper tries to combine macro and micro methods to study industry allocation. The first part of the article collates the relevant documents of industry allocation, including the macro-economic cycle theory, the meso-industrial evolution theory and the micro-investment portfolio theory, and constructs the theoretical framework of industry allocation combined with the characteristics of China's economy. Then it analyzes the industry performance and the underlying mechanism of A-share market, and puts forward the corresponding strategy choice from the two time span of medium-and short-term. The second half of the article uses empirical research to verify the implementation details of medium- and long-term strategy and short-term strategy. Medium and long term industry allocation adopts allocation strategy based on economic cycle and industry evolution, through the empirical analysis of income and risk. Three concepts should be followed in medium-long-term allocation: value investment, trend adaptation and risk control. The short-term industry configuration adopts the collocation strategy based on the relationship between lead and delay. Through the Granger causality test and the VAR impulse response analysis method, three key points should be paid attention to in the short-term industry allocation: the index industry that is focused on. The reference function of the relationship of collar lag and the time of action of the relationship of collar lag.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51

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