本文關(guān)鍵詞：跳躍擇時(shí)結(jié)合動(dòng)量策略和反轉(zhuǎn)策略的盈利性研究　出處：《廈門大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 跳躍風(fēng)險(xiǎn) 擇時(shí) 動(dòng)量策略 反轉(zhuǎn)策略

【摘要】：股市的動(dòng)量效應(yīng)和反轉(zhuǎn)效應(yīng)一直是學(xué)術(shù)界和業(yè)界比較熱衷的話題之一,但以往的所有相關(guān)研究或者投資策略基本上都只從選股一個(gè)方面切入。一方面在股市存在動(dòng)量或者反轉(zhuǎn)效應(yīng)的基礎(chǔ)上,如果我們能夠找到至少精確到某一日的時(shí)間點(diǎn)使得投資者能夠?qū)ξ磥淼拇蟊P走勢(shì)做出相對(duì)可信的預(yù)測(cè),從而能夠在相對(duì)正確的時(shí)間點(diǎn)再通過執(zhí)行動(dòng)量策略或者反轉(zhuǎn)策略來選股,使得動(dòng)量和反轉(zhuǎn)策略的表現(xiàn)得到加強(qiáng)將是非常有意義的；另一方面,國內(nèi)學(xué)者的研究很少涉及跳躍應(yīng)用的問題,無論是學(xué)術(shù)界還是業(yè)界幾乎還沒有研究者把跳躍行為結(jié)合到投資策略中并且作為擇時(shí)的指標(biāo)研究過其在中國股票市場(chǎng)的表現(xiàn)。因此,本文首先通過實(shí)證檢驗(yàn)研究跳躍風(fēng)險(xiǎn)衡量指標(biāo)對(duì)中國股市表現(xiàn)的預(yù)測(cè)能力,在此基礎(chǔ)上再將跳躍與動(dòng)量效應(yīng)和反轉(zhuǎn)效應(yīng)相結(jié)合,利用跳躍作為建倉信號(hào),利用動(dòng)量策略和反轉(zhuǎn)策略來選股,考察新策略的表現(xiàn)并與純策略進(jìn)行對(duì)比。 在策略執(zhí)行之前,本文通過實(shí)證檢驗(yàn)發(fā)現(xiàn)文章選取的幾個(gè)指標(biāo)都有一定的預(yù)測(cè)能力,其中符號(hào)跳躍變差的預(yù)測(cè)能力相對(duì)最佳。在包含一個(gè)相對(duì)完整市場(chǎng)周期的十年樣本期間內(nèi),再以上證A股所有股票作為股票池執(zhí)行新的策略。從策略表現(xiàn)上看,首先,在大樣本期間下,無論是跳躍擇時(shí)結(jié)合動(dòng)量策略還是跳躍擇時(shí)結(jié)合反轉(zhuǎn)策略,比起純策略都有很大的優(yōu)越性。另外,將跳躍擇時(shí)結(jié)合反轉(zhuǎn)策略的情況與結(jié)合動(dòng)量策略的情況作對(duì)比,發(fā)現(xiàn)結(jié)合反轉(zhuǎn)策略后的策略表現(xiàn)明顯比結(jié)合動(dòng)量策略具有更大的優(yōu)勢(shì)。另外,本文在原有的跳躍擇時(shí)結(jié)合動(dòng)量和反轉(zhuǎn)策略基礎(chǔ)上試圖在投資組合成份股個(gè)數(shù)、滯后期、大小盤等幾個(gè)方面對(duì)新策略作出改進(jìn),發(fā)現(xiàn)調(diào)整成分股的個(gè)數(shù)可以明顯提升策略的表現(xiàn)；而滯后期的加入只能讓策略的收益率表現(xiàn)變差；限定了小盤股后,新策略的表現(xiàn)也得到了提升。
[Abstract]:The momentum effect and reversal effect of the stock market has been one of the academic and industry are more interested in the topic, but all previous related research or investment strategy basically only from one aspect of stock entry. On the one hand in the presence of momentum or reverse effect on the stock market, if we can find at least one day time accurate to that investors can make a credible prediction on future market trend, which can in a relatively correct time again through the implementation of momentum strategies and contrarian strategies to stock selection, the momentum and contrarian strategy performance will be strengthened is very significant; on the other hand, domestic scholars rarely jump application problems, both academic and industry researchers have almost no binding to the jump behavior of investment strategy and as the selection index of the China the performance of the stock market. Therefore, this paper through empirical study jump risk measure the ability to predict Chinese stock market performance, and then will jump in combination with the momentum effect and reversal effect, by jumping as Jiancang signal, using the momentum strategy and contrarian strategy to stock selection, study new strategies and performance compared with the pure strategy.
In the strategy execution before, through empirical testing found several indicators the article selected has a certain predictive ability, the ability to predict the variation of symbol jump relative best. During contains a relatively complete market cycle within ten years of the sample, then the above card A shares of all stock as the stock pool implementation of the new strategy. From a strategic point of view, first of all, in the sample period, both jump timing strategy combining with the momentum reversal strategy or jump timing, compared with pure strategy has great superiority. In addition, the jump timing with reversal strategy comparison and combination of momentum strategies, it was found that the combination of Contrarian strategy the strategy obviously has more advantages than the combination of momentum strategies. In addition, based on the original jump timing combination of momentum and contrarian strategy based on a number of attempts in the portfolio of stocks, lag In order to improve the performance of the new strategy, it is found that adjusting the number of constituent stocks can significantly improve the performance of the strategy, while the lag lag can only make the performance of the strategy worse. After defining the small cap stocks, the new strategy has also been improved.

【學(xué)位授予單位】：廈門大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1402617