本文關(guān)鍵詞：滬深A(yù)股市場漲停板股票組合投資策略的研究　出處：《電子科技大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 漲停板組合投資 回歸分析 超額收益

【摘要】：為了抑制過渡投機(jī)和穩(wěn)定中國的證券市場,中國滬深交易所經(jīng)證監(jiān)會同意從1996年12月16日開始實施漲跌停制度,從此中國股市進(jìn)入了漲跌停制度時代。但直至今日,人們對該項制度的討論從未停止過,包括能否達(dá)到制度引入的初衷,對股市的流動性、波動性、有效性、價格發(fā)現(xiàn)的影響,是否有干擾了證券交易等問題。漲跌停板制度無論對中國證券管理機(jī)構(gòu),還是對證券投資者的影響都很大。利用漲停板制度本身作為投資策略而實現(xiàn)超額收益的話題,引起了廣大證券投資者的關(guān)心,也是本文的出發(fā)點(diǎn)。本文系統(tǒng)地回顧了中國股市的成長歷史和證券投資的基本方法,分析了漲跌停板制度的特點(diǎn)和制度對股市的影響,重點(diǎn)解析在漲跌停制度下,投資者利用漲跌停制度作為投資策略的理論基礎(chǔ)、方法、可行性和實證分析,本文重點(diǎn)研究低買高賣的漲停版組合投資策略及有效性。本文采用“比較分析法”、“分組分析法”和“回歸分析法”,選取上海和深圳證券市場當(dāng)日漲停的A類股票(沒有被ST和PT的股票)三年(2006年、2008年和2012年)歷史數(shù)據(jù)進(jìn)行了實證分析,試圖揭開“漲停板敢死隊”的神秘面紗,揭示漲停板組合投資策略的有效性,以及這種投資策略的風(fēng)險和收益情況。
[Abstract]:In order to curb excessive speculation and stabilize China's securities market, China's Shanghai and Shenzhen exchanges approved by the Securities Regulatory Commission from December 16th 1996 to implement a limit system. Since then, China's stock market has entered the trading limit system era, but to this day, people have never stopped the discussion of this system, including whether to achieve the original intention of the introduction of the system, the liquidity, volatility, effectiveness of the stock market. The impact of price discovery, whether there is interference with securities trading and other issues. Ups and downs limit board system regardless of China's securities regulatory agencies. It also has a great impact on the securities investors. The topic of realizing excess returns by using the system itself as an investment strategy has aroused the concern of the majority of securities investors. It is also the starting point of this paper. This paper systematically reviews the growth history of Chinese stock market and the basic methods of securities investment, and analyzes the characteristics of the system and the impact of the system on the stock market. Focus on the price limit system, investors use the price limit system as the theoretical basis of investment strategy, methods, feasibility and empirical analysis. This paper focuses on the investment strategy and effectiveness of high price trading portfolio. This paper adopts "comparative analysis", "grouping analysis" and "regression analysis". The historical data of class A stocks (not by St and PT) in Shanghai and Shenzhen stock markets on the same day (2006, 2008 and 2012) were selected for empirical analysis. This paper attempts to uncover the mystery of the "Expendables", to reveal the effectiveness of the portfolio investment strategy, and the risk and return of the investment strategy.
【學(xué)位授予單位】：電子科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

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相關(guān)期刊論文 前2條

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本文編號：1362109