本文選題：A股熊市特征 + 市內(nèi)率��； 參考：《湘潭大學(xué)》2017年碩士論文

【摘要】：我國證券市場自1990年恢復(fù)至今的近30年時(shí)間里,已經(jīng)歷了多次牛熊市轉(zhuǎn)變,市場波動非常巨大;相應(yīng)的公募基金業(yè)績波動也尤為顯著,主要原因是其擇時(shí)擇股能力較差所致。故此,如何解決公墓基金的擇時(shí)擇股能力問題,是其面臨的最大難題,但現(xiàn)有文獻(xiàn)基本未對此進(jìn)行深入研究。文章通過導(dǎo)師構(gòu)建的股市泡沫模型(市內(nèi)率模型)和相關(guān)指標(biāo)的趨勢分析對熊市低谷股票市場的波動特征進(jìn)行總結(jié)。在針對2005-2016年上證A股1125家上市公司的市內(nèi)率、股權(quán)集中度、產(chǎn)業(yè)資本與財(cái)務(wù)資本增減持、封閉式基金折溢價(jià)等預(yù)測指標(biāo)進(jìn)行測算和趨勢分析后,數(shù)據(jù)表明:第一,熊市低谷點(diǎn)調(diào)整前后市內(nèi)率趨近于1且在1之間小幅度波動,因此市場泡沫較低或幾乎不存在。第二,在四次熊市低谷點(diǎn)股權(quán)高度集中,其中產(chǎn)業(yè)資本變動與市場趨勢一致,因產(chǎn)業(yè)資本為實(shí)體企業(yè)投資,注重長期投資,其波動較小;財(cái)務(wù)資本則因進(jìn)出市場靈活,波動較大。第三,封閉式基金整體折價(jià)水平較高,且市內(nèi)率越小,折價(jià)水平越高。綜合表明熊市低谷期間內(nèi)在價(jià)值具有有效性,以市內(nèi)率為基礎(chǔ)的相關(guān)指標(biāo)分析能總結(jié)熊市股票市場的波動特征。文章進(jìn)而依據(jù)市場整體波動特征和分析方法對H-S-H基金的倉位控制、累計(jì)收益率走勢、加權(quán)漲跌幅、持股周期進(jìn)行分析,研究發(fā)現(xiàn)該基金整體擇時(shí)能力較弱,擇股能力相對較強(qiáng)。針對H-S-H基金存在的擇時(shí)能力較弱,擇時(shí)擇股綜合表現(xiàn)的整體收益波動較大等問題,文章建議機(jī)構(gòu)和個(gè)體投資者應(yīng)以財(cái)務(wù)估值為基礎(chǔ),通過股市泡沫模型和輔助指標(biāo)的趨勢分析進(jìn)行有效的價(jià)值投資。具體分析一方面應(yīng)加強(qiáng)基金公司和基金經(jīng)理的價(jià)值投資意識,通過財(cái)務(wù)估值模型對價(jià)值股進(jìn)行識別。另一方面通過市內(nèi)率等輔助指標(biāo)對市場整體波動趨勢進(jìn)行分析,從而根據(jù)市場整體波動和個(gè)股投資價(jià)值進(jìn)行投資決策,以避免投資者的盲目投資和從眾心理�，F(xiàn)有的研究主要是通過參數(shù)法對牛熊市階段基金的擇時(shí)擇股能力進(jìn)行檢驗(yàn),文章以財(cái)務(wù)估值模型為基礎(chǔ)對上證A股整體內(nèi)在價(jià)值進(jìn)行測算,進(jìn)一步通過股市泡沫模型(市內(nèi)率模型)等指標(biāo)對市場泡沫程度和市場波動進(jìn)行趨勢分析,據(jù)此對案例基金的擇時(shí)擇股能力進(jìn)行剖析,從而引導(dǎo)機(jī)構(gòu)和個(gè)體投資者如何進(jìn)行擇時(shí)擇股。
[Abstract]:In the nearly 30 years since the stock market was recovered in 1990, the stock market has experienced many bull and bear market changes, and the market volatility is very large, and the corresponding performance fluctuation of public offering funds is particularly remarkable, mainly due to its poor ability to choose stock at the time.Therefore, how to solve the problem of cemeteries fund's ability of timing and stock selection is the biggest problem it faces, but the existing literature has not studied this problem deeply.This paper summarizes the volatility characteristics of bear market trough stock market by using the stock market bubble model (the city rate model) and the trend analysis of related indicators.After calculating and analyzing the city rate, ownership concentration, industrial capital and financial capital increase and decrease, closed-end fund premium and so on, the data show that: first,Before and after the adjustment of the low point of bear market, the rate of the city approaches to 1 and fluctuates by a small margin between 1, so the market bubble is low or almost non-existent.Second, at the low point of the four bear markets, stock ownership is highly concentrated, in which industrial capital changes are consistent with market trends, because industrial capital is a physical enterprise investment, focusing on long-term investment, and its volatility is relatively small; financial capital is flexible because of its access to and exit from the market.It fluctuates greatly.Third, the closed-end fund as a whole discount level is higher, and the smaller the city rate, the higher the discount level.It is concluded that the intrinsic value of bear market is effective during the period of low valley of bear market, and the volatility characteristics of bear market stock market can be summed up by the analysis of relevant indexes based on the city rate.According to the characteristics of the market volatility and the analysis method, the paper analyzes the H-S-H fund's position control, cumulative yield trend, weighted rise and fall, and stock holding cycle. It is found that the overall timing ability of the fund is relatively weak and the stock selection ability is relatively strong.In view of the weak timing ability of H-S-H funds and the large volatility of the overall income of the comprehensive performance of timing and stock selection, this paper suggests that institutions and individual investors should base themselves on financial valuation.Through the stock market bubble model and the auxiliary index trend analysis to carry on the effective value investment.On the one hand, the value investment consciousness of fund companies and fund managers should be strengthened, and the value stocks should be identified by financial valuation model.On the other hand, through the analysis of the market fluctuation trend through the auxiliary index such as the city rate, the investment decision can be made according to the whole market fluctuation and the value of the individual stock investment, so as to avoid the blind investment and the herd psychology of the investors.The existing research is mainly through the parameter method to test the timing and stock selection ability of the bull bear stage fund. Based on the financial valuation model, the paper calculates the overall intrinsic value of the A shares of Shanghai Stock Exchange.Further, through the stock market bubble model (city rate model) and other indicators to market bubble degree and market volatility trend analysis, according to the case fund timing and stock selection ability to analyze,So as to guide institutions and individual investors how to choose stock timing.
【學(xué)位授予單位】：湘潭大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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1 張格;基于A股熊市特征的H-S-H基金擇時(shí)擇股能力研究[D];湘潭大學(xué);2017年

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