【摘要】：隨著我國(guó)經(jīng)濟(jì)的快速發(fā)展,中國(guó)股市的發(fā)展也日趨完善,異動(dòng)股的選擇也一直是證券市場(chǎng)投資者與學(xué)者的研究重點(diǎn),而技術(shù)分析作為預(yù)測(cè)價(jià)格未來走勢(shì)的投資分析方法也日漸成為金融市場(chǎng)中重要的投資分析流派。對(duì)于股市中應(yīng)該選擇哪支股票進(jìn)行投資也成為投資者、投資分析師甚至一些學(xué)者的關(guān)注內(nèi)容。在選股過程中,投資者更關(guān)注的就是異動(dòng)股,因?yàn)楫悇?dòng)股中往往會(huì)跑出牛股。但是,股票的選擇是一個(gè)非常復(fù)雜且有技術(shù)性的問題,需要綜合考慮各種因素,在基礎(chǔ)分析方面需研究該支股票公司的盈利、公司發(fā)展?fàn)顩r、國(guó)家的宏觀經(jīng)濟(jì)政策,在技術(shù)分析方面,則要考慮技術(shù)指標(biāo)與技術(shù)圖形等。這對(duì)個(gè)體投資者而言,無疑有些困難,特別是對(duì)短期投資者而言,投資機(jī)會(huì)瞬息萬變,在短期內(nèi)進(jìn)行正確的決策是需要非常廣泛的知識(shí)面,而投資者也沒有一個(gè)固定的投資依據(jù)。基于此,本文針對(duì)短期投資者提出一個(gè)異動(dòng)股選擇的參考方法,并從統(tǒng)計(jì)方面進(jìn)行了證明,為投資者及相關(guān)學(xué)者提供了參考依據(jù)。 本文通過對(duì)2009年至2010年中國(guó)股市中的20支異動(dòng)股票在異動(dòng)前的一段時(shí)間數(shù)據(jù)進(jìn)行研究,發(fā)現(xiàn)2009年至2010年異動(dòng)股在暴漲前都會(huì)發(fā)生相對(duì)強(qiáng)弱指標(biāo)的黃金交叉以及指數(shù)異同平滑移動(dòng)平均線的黃金交叉,而且RSI的金叉的發(fā)生往往在MACD黃金交叉之前,與此同時(shí),對(duì)該20支異動(dòng)股的換手率分析發(fā)現(xiàn),在股票暴漲前5日換手率的變動(dòng)值有異常的變化。根據(jù)該現(xiàn)象提出了選擇異動(dòng)股票的一種方法,并從實(shí)證角度給予證明。根據(jù)分析所得結(jié)論,結(jié)合Bootstrap法對(duì)本文結(jié)果進(jìn)行證明,研究結(jié)論表明,在牛市中結(jié)合利用RSI和MACD兩個(gè)技術(shù)指標(biāo)進(jìn)行股票投資能取得超額收益率,而在熊市及振蕩股市中,該技術(shù)分析法的有效性不明顯。本文的結(jié)論在另一個(gè)角度,為技術(shù)指標(biāo)有效性提供了證據(jù),也為投資者及相關(guān)研究人員提供參考。
[Abstract]:With the rapid development of China's economy, the development of China's stock market is also becoming more and more perfect, and the choice of exotic stocks has always been the focus of research by investors and scholars in the securities market. As an investment analysis method to predict the future trend of price, technical analysis is becoming an important investment analysis school in financial market. Investors, investment analysts and even some scholars pay attention to which stocks should be chosen to invest in the stock market. In the process of stock selection, investors are more focused on the muti-stocks, which tend to run out of bulls. However, the selection of stocks is a very complex and technical issue, which requires comprehensive consideration of various factors, and a fundamental analysis of the profitability of the stock company, the state of the company's development, and the macroeconomic policies of the country. In the aspect of technical analysis, the technical indexes and graphics should be considered. This is undoubtedly a bit difficult for individual investors, especially for short-term investors, where investment opportunities are changing rapidly, and making the right decisions in the short term requires a very broad range of knowledge. And investors do not have a fixed basis for investment. Based on this, this paper puts forward a reference method for short-term investors, and proves it from the statistical aspect, which provides a reference basis for investors and related scholars. This paper studies the data of 20 abnormal stocks in the Chinese stock market from 2009 to 2010. It is found that the gold cross of the relative strength index and the smooth moving average line of index similarities and differences will occur between 2009 and 2010, and the occurrence of the RSI gold fork often occurs before the MACD gold crossover, at the same time, By analyzing the turnover rate of the 20 abnormal stocks, it is found that the change value of the turnover rate has an abnormal change on the 5th day before the stock burst. According to this phenomenon, this paper puts forward a method of choosing abnormal stock, and proves it from an empirical point of view. According to the conclusions obtained from the analysis and the Bootstrap method, the results of this paper are proved. The results show that the excess return can be obtained in the bull market by using RSI and MACD technical indicators, while in the bear market and the volatile stock market, the results of the study show that the stock investment can achieve the excess return in the bull market. The effectiveness of this method is not obvious. On the other hand, the conclusion provides evidence for the effectiveness of technical indicators, as well as references for investors and related researchers.
【學(xué)位授予單位】：北方工業(yè)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

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