本文關(guān)鍵詞：我國A股市場行業(yè)板塊輪動現(xiàn)象的實證研究　出處：《浙江工商大學》2017年碩士論文　論文類型：學位論文

  更多相關(guān)文章： A股市場 行業(yè)板塊輪動 聚類分析 生命周期理論

【摘要】：自二十世紀末以來,證券市場中的行業(yè)板塊輪動現(xiàn)象一直以來都是受到了極大的關(guān)注,通過翻閱之前的研究文獻,以及關(guān)注這些年市場上出現(xiàn)的基金公司,會發(fā)現(xiàn)行業(yè)輪動的現(xiàn)象已經(jīng)很大程度上被機構(gòu)投資者或者小型的私募機構(gòu)所關(guān)注,而我國的證券市場其實也是存在著這樣的一種行業(yè)輪動現(xiàn)象。無論是在理論領(lǐng)域,還是應(yīng)用到實踐的過程中,都可以找到關(guān)于行業(yè)輪動現(xiàn)象的研究,有的甚至作為課題或者是投資研究領(lǐng)域的一個方面,然后,伴隨著證券市場本身不斷地發(fā)展,對于證券市場的研究也進入到了更加細分的領(lǐng)域,包括研究方法的進步、采用的研究工具,作為證券市場研究的一個細分領(lǐng)域,即行業(yè)輪動現(xiàn)象的研究也不斷地增添了新的內(nèi)容。隨著我國的經(jīng)濟發(fā)展,以及資本市場的不斷深化改革,在資本市場上我國的機構(gòu)投資者和個人投資規(guī)模也在不斷地擴大,對于其中的機構(gòu)投資者來說,為了降低投資風險,不會在進行投資配置時只專注于單個股票,而是會分開投資,盡量保持穩(wěn)健地投資風格,此時,在行業(yè)板塊上的投資就顯得比較關(guān)鍵。我國國內(nèi)也是從2003年以來建立了首只關(guān)于行業(yè)板塊的基金,也就成立了康寶消費品行業(yè)基金,這也標志著我國國內(nèi)關(guān)于行業(yè)基金拉開了序幕。自此,國內(nèi)關(guān)于行業(yè)基金的發(fā)展也是如雨后春筍,日益增多,當然相對于我國國內(nèi)的市場,仍然有很大的發(fā)展空間。全文一共分為五章,第一章為緒論部分,本章第一節(jié)首先介紹了本文的研究背景,描述了國內(nèi)證券市場的發(fā)展情況,接著介紹了選取這個選題的理論意義與實際意義。在第二節(jié)中提到了本文具體的研究內(nèi)容、研究方法以及本文可能在研究中所取得的創(chuàng)新點與研究過程中出現(xiàn)的難點問題,最后一部分就是本文的結(jié)構(gòu)框架;第二章為文獻綜述及相關(guān)理論,本章主要介紹了文獻綜述與關(guān)于板塊輪動的相關(guān)理論。文獻綜述中,對國內(nèi)外的一些研究做了概述,以及對這些研究做了有關(guān)的評述。相關(guān)理論部分主要介紹了生命周期理論與美林投資時鐘理論;第三章為我國A股市場行業(yè)板塊輪動現(xiàn)狀分析,本章主要對A股市場行業(yè)板塊輪動的現(xiàn)狀進行了分析,第一部分先介紹了分析背景。第二部分介紹了 A股市場行業(yè)板塊輪動的特征事實,包括數(shù)據(jù)的選取,A股市場的幾個不同發(fā)展階段以及不同發(fā)展階段下的行業(yè)板塊輪動現(xiàn)象。在第三部分,介紹了行業(yè)板塊輪動的原因。第四章為行業(yè)板塊輪動的實證部分,先是介紹了板塊輪動的實證研究方法,接著結(jié)合實證研究方法對A股市場行業(yè)輪動現(xiàn)象做聚類分析,最后是對A股市場行業(yè)輪動現(xiàn)象進行進一步的分析。第五章為結(jié)論部分,介紹了本文的研究結(jié)論以及未來對未來研究方向的展望。通過本文對于我國A股市場行業(yè)板塊輪動現(xiàn)象的研究,得到以下結(jié)論:(1)根據(jù)前面章節(jié)的實證分析結(jié)果,發(fā)現(xiàn)行業(yè)輪動現(xiàn)象在我國的A股市場上確實是存在的,并且,不同市場趨勢下面的行業(yè)輪動的效果也是不同的,尤其是在上漲的趨勢下,行業(yè)板塊的輪動現(xiàn)象比較明顯,相對來說,比在下跌過程的表現(xiàn)更加明顯;(2)根據(jù)聚類分析方法得到的結(jié)果可以得到,消費類行業(yè)與強周期類行業(yè)的板塊輪動現(xiàn)象比較明顯,中周期類與消費類的輪動并不是那么明顯,在部分特定的市場趨勢下才能夠表現(xiàn)出來;(3)日累計收益率平均相關(guān)系數(shù)較大的行業(yè)板塊,大部分是在產(chǎn)業(yè)的中下游,可以發(fā)現(xiàn)行業(yè)輪動的效果并不是特別明顯,相反相關(guān)系數(shù)比較小的行業(yè)板塊,反而能夠取得優(yōu)異的表現(xiàn),其中大部分是周期類的行業(yè);(4)在不同經(jīng)濟周期階段的行業(yè)板塊輪動現(xiàn)象基本上是可以采用美林投資時鐘理論來進行解釋,但是這種描述是比較抽象的,同時也不是特別的充分。本文可能的創(chuàng)新點主要有:現(xiàn)有的關(guān)于行業(yè)板塊輪動的研究大部分是認為在我國的A股市場上,已經(jīng)是存在行業(yè)輪動這樣的現(xiàn)象事實,然后根據(jù)美林投資理論作為已有的基礎(chǔ)來對自身所研究的問題進行研究,同時,國內(nèi)研究行業(yè)板塊輪動理論因素大部分是進行定性分析,很少涉及到定量分析,而本文的創(chuàng)新點在于根據(jù)不同的A股市場各行業(yè)不同階段的績效表現(xiàn)來進行具體的比較分析,與此同時本文通過對我國國內(nèi)不同階段的行業(yè)表現(xiàn)來驗證美林投資時鐘理論是否在我國的證券市場是可行的。
[Abstract]:Since the end of the twentieth Century, the industry Bankuailundong phenomenon has been attracted great attention in the stock market, through the study of literature reading before, and pay attention to these years appearing on the market, fund companies will find the phenomenon of wheeled industry has largely been institutional investors or small private institutions concerned. China's securities market is actually there is such an industry wheeled phenomenon. Whether in the theory field, or applied to the practice of the process, can be found on the sector rotation phenomenon, there is even as a subject or an investment, research field and then, along with the securities the market continues to develop, for the study of the stock market has entered into more segments of the field, including the advancement of studying methods, the research tools, as the stock market research A study on the industry segments, namely rotation phenomenon will continue to add new content. With the development of China's economy, and the deepening reform of capital market, the capital market of China's institutional investors and individual investment scale is constantly expanding, for in the institutional investors, in order to to reduce the investment risk, not only in the investment allocation focus on individual stocks, but will try to maintain a separate investment, prudent investment style, at the same time, in the industry sector investment becomes more critical. Our country is from 2003 since the establishment of the first on the industry sector funds, also set up a Canbo consumer goods the fund industry, which indicates that China's domestic fund industry began. Since then, about the development of domestic fund industry is also increasing, such as bamboo shoots after a spring rain, of course, for my country The market still has great development space. This paper is divided into five chapters, the first chapter is the introduction, the first section introduces the research background, describes the development situation of the domestic stock market, and then introduces the theoretical significance and practical significance of the selected topic. In section second referred to specific the research contents, research methods and the difficulties may be made in the study of the innovation and research process, structure of the last part of this paper is; the second chapter is literature review and related theories, this chapter mainly introduces the literature review about Bankuailundong related theories in the literature review. And some studies at home and abroad are summarized, and the research on the related theories review. Part mainly introduces the life cycle theory and investment clock theory; the third chapter China's A stock market industry Bankuailundong situation analysis, this chapter focuses on the A stock market industry Bankuailundong the status of the analysis, the first part introduces the background of the analysis. The second part introduces the A stock market industry Bankuailundong characteristic facts, including data selection, the phenomenon of industry Bankuailundong A stock market the several different stages of development and under different stages of development. In the third part, introduced the industry Bankuailundong reasons. The fourth chapter is the empirical part of the industry Bankuailundong, first introduced Bankuailundong empirical research methods, research methods and combining the real card to A market sector rotation phenomenon clustering analysis, finally further analysis of A stock market sector rotation phenomenon. The fifth chapter is the conclusion part, the paper introduces the research conclusion and future directions for future research. Through this article for A stock market in China Study on the phenomenon of industry Bankuailundong market, obtained the following conclusions: (1) according to the empirical analysis of the previous chapter, found that the sector rotation phenomenon exists in our country, the A stock market and the effect under different market trends to move round the industry is different, especially in the rising trend next, the industry sector rotation phenomenon is quite obvious, relatively speaking, more obvious than fall in the performance of the process; (2) according to the clustering analysis results can be obtained, Bankuailundong phenomenon of consumer industries and strong cyclical industries more obvious in the period and consumer rotation is not so obviously, market trends in specific parts can be demonstrated; (3) the cumulative rate of return on the industry average correlation coefficient of large plates, mostly in the middle and lower reaches of the industry, can be found in the industry moving round the effect is not particularly obvious On the contrary, the correlation coefficient is relatively small industry sector, it can achieve excellent performance, most of which are cyclical industries; (4) plate in the different stages of the economic cycle industry wheeled phenomenon basically is can be explained by the investment clock theory, but this description is more abstract, but also not very good. The possible innovations of this paper are: the existing research on the industry Bankuailundong most is that in China A stock market, there is industry round such a phenomenon, then conducts the research, according to Merrill Lynch Investment Theory as the basis of their research problems at the same time most of the domestic research, industry Bankuailundong theoretical factors are qualitative analysis, rarely involved in the quantitative analysis, the innovation of this paper lies in the A stock market according to different industries in different stages In order to verify whether Merrill's investment clock theory is feasible in China's stock market, this paper conducts a specific comparative analysis on the performance. Meanwhile, this paper verifies whether Merrill's investment clock theory is feasible in China's stock market by analyzing the industry performance at different stages in China.

【學位授予單位】：浙江工商大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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