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  本文關(guān)鍵詞： 風(fēng)險結(jié)構(gòu) 多因素模型 方差分解 上證GICS分類　出處：《北方工業(yè)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：股票投資的風(fēng)險源于未來收益的不確定性,這種不確定性包含了公司層面、行業(yè)層面和市場層面三個重要的層次結(jié)構(gòu)。為了全面認(rèn)識投資風(fēng)險,規(guī)避不確定性,需要解析個股風(fēng)險結(jié)構(gòu),計算每個層次的風(fēng)險比重及其變化趨勢,進而制定合適的投資計劃。 本文選取全部滬市A股股票、上證指數(shù)、上證行業(yè)指數(shù)的日收盤價為考察數(shù)據(jù),選擇2009年1月9日-2013年12月31日為研究的時間區(qū)間,其中A股數(shù)據(jù)剔除ST、*ST、暫停上市的股票后,依據(jù)GICS分類標(biāo)準(zhǔn),將余下的791支股票劃分為能源、原材料、工業(yè)、可選消費、主要消費、醫(yī)藥衛(wèi)生、金融地產(chǎn)、信息技術(shù)、通訊服務(wù)、公用事業(yè)十大行業(yè)。本文在每個年度對個股收益分別建立行業(yè)因素模型,通過分解個股收益率的方差,計算出公司因素、行業(yè)因素、市場因素對個股收益波動的貢獻程度,之后以個股流通市值為權(quán)數(shù),分別計算GICS行業(yè)分類下個股的加權(quán)平均值,得到十個行業(yè)的風(fēng)險結(jié)構(gòu)。 通過分析滬市不同行業(yè)的風(fēng)險結(jié)構(gòu)及其變化趨勢,本文可以得到以下幾個重要結(jié)論。整體來看,正在進行重大資產(chǎn)重組、嘗試業(yè)務(wù)轉(zhuǎn)型、出現(xiàn)財務(wù)問題等的上市公司表現(xiàn)出很強的公司風(fēng)險,而行業(yè)里的龍頭公司運營比較成熟,來自公司層面的風(fēng)險相對比較小,受市場因素的影響相對大一些。從行業(yè)來看,不同的行業(yè)呈現(xiàn)出不一樣的風(fēng)險特征：1)基礎(chǔ)型產(chǎn)業(yè),如能源、原材料、通訊服務(wù)、工業(yè)、公用事業(yè),個股風(fēng)險較多地受市場因素的影響,除了原材料行業(yè),其它四個行業(yè)的風(fēng)險結(jié)構(gòu)相對比較穩(wěn)定,比例變動不大；2)國家戰(zhàn)略新興產(chǎn)業(yè),例如信息技術(shù)行業(yè),在國家政策的扶持和保護下,該行業(yè)股票收益的波動受到市場因素的影響比較小,上市公司風(fēng)險主要是受公司因素的影響,而且公司風(fēng)險有繼續(xù)增加的趨勢；3)金融地產(chǎn)行業(yè)風(fēng)險較多來自市場因素,而且市場風(fēng)險有逐年增加的趨勢；同時也具有較大的行業(yè)風(fēng)險,但是行業(yè)風(fēng)險有減少的趨勢；4)醫(yī)藥衛(wèi)生行業(yè)市場風(fēng)險占比較小,目前我國宏觀經(jīng)濟前景尚不清晰,投資者可以選擇具備較強防御特性的醫(yī)藥衛(wèi)生行業(yè)股票；5)對于消費行業(yè)來說,包括日用產(chǎn)品、食品和藥品零售等細分行業(yè)的主要消費行業(yè)受宏觀經(jīng)濟的影響不大,公司風(fēng)險占總風(fēng)險的比例較大；而包括汽車、服裝、休閑和媒體等細分行業(yè)的可選消費行業(yè)受宏觀經(jīng)濟的影響比較大,風(fēng)險主要來自市場層面的波動。 本文結(jié)論可以為投資者決策提供參考意見,風(fēng)險偏好型的投資者可以關(guān)注公司風(fēng)險較高的股票,例如信息技術(shù)行業(yè)的股票,從股票本身的波動中受益；風(fēng)險厭惡型的投資者可以從醫(yī)藥衛(wèi)生、主要消費等行業(yè)中選擇股票進行適當(dāng)?shù)慕M合,通過分散非系統(tǒng)性風(fēng)險來降低投資風(fēng)險。
[Abstract]:The risk of stock investment originates from the uncertainty of future income, which includes three important hierarchies: company level, industry level and market level. It is necessary to analyze the risk structure of individual stock, calculate the risk proportion of each level and its changing trend, and then make the appropriate investment plan. This paper selects all Shanghai A-share stocks, Shanghai Stock Exchange Index, Shanghai Stock Exchange Index daily closing price as the investigation data, and selects January 9th 2009-December 31st 2013 as the time interval of the study. After the A-share data exclude STT and suspend the listing of stocks, the remaining 791 stocks are divided into energy, raw materials, industry, optional consumption and main consumption according to GICS classification criteria. Medical and health, financial real estate, information technology, communication services, public utilities, ten industries. This paper establishes the industry factor model for the income of individual stock in each year, by decomposing the variance of the return rate of individual stock. Calculate the contribution of company factors, industry factors, market factors to the volatility of individual stock returns, and then calculate the weighted average of individual stocks under GICS industry classification with market value as weight. Get the risk structure of ten industries. By analyzing the risk structure and its changing trend of different industries in Shanghai Stock Exchange, this paper can get the following important conclusions. On the whole, we are carrying out major asset restructuring to try business transformation. Listed companies with financial problems show strong corporate risk, while the leading companies in the industry are relatively mature, relatively small risks from the corporate level. Different industries show different risk characteristics: 1) basic industries, such as energy, raw materials, communications services, industry, public utilities. The risk of individual stock is mostly influenced by market factors, except for raw material industry, the risk structure of the other four industries is relatively stable, and the proportion is not changed. 2) National strategic emerging industries, such as the information technology industry, under the support and protection of national policies, the volatility of stock returns in this industry is less affected by market factors. The listed company risk is mainly affected by the company factor, and the company risk has the tendency to continue to increase; 3) the financial and real estate industry risk comes from the market factor, and the market risk has the tendency of increasing year by year; At the same time, it also has the bigger industry risk, but the industry risk has the tendency to reduce; 4) the market risk of medicine and health industry is relatively small, the macroeconomic prospect of our country is not clear at present, the investors can choose the medicine and health industry stock which has the stronger defense characteristic; 5) for the consumer industry, the main consumer industries, including daily products, food and drug retailing, are not affected by the macro-economy, and the corporate risk is a larger proportion of the total risk; The optional consumer industries, which include automobile, clothing, leisure and media, are influenced by the macro economy, and the risk is mainly from the fluctuation of market level. The conclusion of this paper can provide reference for investors to make decisions. Investors with risk preference can pay attention to the stocks with high risk, such as those in information technology industry, and benefit from the volatility of stocks themselves. Risk averse investors can choose the appropriate combination of stocks from medicine and health, major consumption and other industries, and reduce the investment risk by dispersing non-systemic risk.
【學(xué)位授予單位】：北方工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;F224

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