本文選題：行業(yè)板塊　切入點(diǎn)：指數(shù)　出處：《云南師范大學(xué)》2014年碩士論文

【摘要】：中國(guó)A股市場(chǎng)伴隨著上海、深圳交易所的成立開始日益繁榮，吸引著越來(lái)越多對(duì)資本市場(chǎng)渴求的參與者。二十多年來(lái)，對(duì)我國(guó)A股市場(chǎng)的研究，理論界形成了很多流派，有精通西方成熟理論的學(xué)者引進(jìn)來(lái)的，也有國(guó)內(nèi)獨(dú)樹一幟的，但是在資本市場(chǎng)沒有萬(wàn)能的理論，本文是基于A股市場(chǎng)在弱市條件下怎樣優(yōu)化投資，首先是在研究行業(yè)板塊的相關(guān)性的基礎(chǔ)上，以2013年行業(yè)板塊、上證指數(shù)日K收盤數(shù)據(jù)為依托，，研究行業(yè)板塊與上證指數(shù)之間的相關(guān)系數(shù)，通過(guò)一元線性回歸論證這相關(guān)系數(shù)與板塊收益之間的關(guān)系；其次通過(guò)二元線性回歸模型尋找異類行業(yè)板塊，獲得最大的超額收益；最后是通過(guò)隨機(jī)抽取100只個(gè)股以及上證綜指、深證成指實(shí)驗(yàn)，從2012年1月4日開始，記錄連續(xù)500個(gè)交易日的收盤價(jià)數(shù)據(jù)，基于相關(guān)性，以收益率為目標(biāo)函數(shù)，運(yùn)用極致的方法，去尋找最佳的異類投資。最終從宏觀上指導(dǎo)資本市場(chǎng)的風(fēng)險(xiǎn)管理和投資決策。
[Abstract]:With the establishment of the Shanghai and Shenzhen stock exchanges, the A-share market in China has become increasingly prosperous, attracting more and more participants who yearn for the capital market. For more than 20 years, the theoretical circle has formed many schools of study on the A-share market in China. Some scholars who are proficient in western mature theories have brought in, and there are also some unique ones in China, but there is no panacea theory in the capital market. This paper is based on how to optimize investment in the A-share market under the weak market conditions. First of all, on the basis of studying the relevance of the industry sector, based on the data of the industry sector and the Shanghai Stock Exchange Index closing in 2013, the correlation coefficient between the industry sector and the Shanghai Stock Exchange Index is studied. The relationship between the correlation coefficient and the income of the plate is demonstrated by linear regression of one variable. Secondly, the largest excess return is obtained by looking for the heterogeneous industry sector by using the binary linear regression model. Finally, 100 stocks and the Shanghai Composite Index are randomly selected. From January 4, 2012, Shenzhen stock index experiment recorded the closing price data of 500 consecutive trading days. Based on the correlation, the yield was taken as the objective function, and the extreme method was used. To find the best investment. Ultimately, from the macro direction of risk management and investment decisions in the capital market.
【學(xué)位授予單位】：云南師范大學(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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