【摘要】：近20年里我國的股票市場指數(shù)的波動跌宕起伏,其中股票市場中的機構(gòu)投資者—公募基金的業(yè)績波動尤其大,而公募基金此種業(yè)績表現(xiàn)是由于公墓基金的擇時能力不強。因此,建立合理的指標體系來評價公墓基金的擇時能力能夠助推基金業(yè)績的穩(wěn)定表現(xiàn),進而穩(wěn)定股票市場的指數(shù)波動。而截至到目前判定公墓基金的擇時能力的衡量指標仍是世界性的金融難題。目前基金擇時能力指標體系研究多采取參數(shù)檢驗的方式,而該方式存在的前提假設(shè)過多,且此類參數(shù)檢驗的模型均涵蓋了擇時、擇股能力分析,擇時擇股能力存在負相關(guān),因此基于此類模型的基金評價結(jié)果值得考慮。本文試圖采用非參數(shù)檢驗的方式進行基金擇時能力分析,構(gòu)建以市內(nèi)率為主要指標的相關(guān)指標體系,結(jié)合股票證券資本市場的熊市低谷和牛市頂點的基本特征預(yù)測指標數(shù)值,來檢驗Z基金在資本市場非日常階段的擇時表現(xiàn)。文章以深證A股市場的數(shù)據(jù)為研究對象,總結(jié)包括2007年與2015年兩次牛市頂峰時點的市內(nèi)率等估值特征指標、莊家控盤度指標以及封閉式基金的折價率共計三大類指標特征。透過對獲得數(shù)據(jù)的描述性統(tǒng)計分析可知,兩次牛市頂峰時點的泡沫程度嚴重,2015年牛市泡沫程度更甚于2007年牛市。莊家控盤中的前十大股東占股比例,即產(chǎn)業(yè)資本相對集中;而金融資本的持股比例則依據(jù)我國證券市場逐漸成熟而愈發(fā)的高漲。產(chǎn)業(yè)資本與金融資本均有高拋低買的特質(zhì),兩種資本力量的投資行為均與股票價格有相關(guān)性。封閉式基金折價率與股票資本市場波動亦相關(guān),當封閉式基金折價率絕對值高時,資本市場處于牛市;當折價率絕對值低時,資本市場處于熊市。文章選擇了股票型基金— Z基金,利用其公開數(shù)據(jù)分析該基金持有對象個股行業(yè)分布情況、持重倉比例變化情況,分析該基金對股票內(nèi)在價值與價格的把控能力,對風(fēng)險的把控能力以及擇時能力的強弱。利用預(yù)測指標體系結(jié)論來檢驗Z基金的擇時能力,分析得知該基金的投資風(fēng)格較為冒進,風(fēng)險把控能力較差,擇時能力偏弱,該基金進行再投資時,表現(xiàn)出較弱的專業(yè)化水平。文章的創(chuàng)新點主要是構(gòu)建了圍繞市內(nèi)率為主的指標體系,用以預(yù)測股票資本市場非日常階段的基本特征。文章的主要貢獻:依賴構(gòu)建的圍繞市內(nèi)率為主的指標體系計算得出了兩次牛市頂峰階段的數(shù)據(jù)值;利用計算得出的預(yù)測指標體系數(shù)據(jù)來檢驗了 Z基金的擇時能力,而Z基金的擇時能力亦是通過相應(yīng)的指標體系來進行計算的。
[Abstract]:In recent 20 years, the stock market index of our country has fluctuated, especially the performance of the institutional investor-public fund in the stock market, and the performance of the public fund is due to the lack of the timing ability of the cemetery fund. Therefore, establishing a reasonable index system to evaluate the timing ability of cemeteries fund can help the stable performance of fund performance, and then stabilize the index fluctuation of stock market. So far, it is still a worldwide financial problem to judge the timing ability of cemetery fund. At present, the research on the index system of fund timing ability mostly adopts the method of parameter test, and there are too many presuppositions in this way, and the models of this kind of parameter test all cover timing, stock selection ability analysis, timing and stock selection ability has negative correlation. Therefore, the results of fund evaluation based on this kind of model are worth considering. This paper attempts to use the non-parametric test to analyze the timing ability of the fund, to construct the related index system with the city rate as the main index, and to combine the basic characteristic prediction index value of the bear market trough and the bull market peak of the stock securities capital market. To test Z funds in the capital market non-daily stage of timing performance. Taking the data of Shenzhen A-share market as the research object, this paper summarizes the characteristics of valuation, such as the city rate at the peak of the two bull markets in 2007 and 2015, the index of market control and the discount rate of closed-end funds. Through the descriptive statistical analysis of the obtained data, we can see that the bubble degree at the peak of the two bull markets is serious, and the bubble degree of the bull market in 2015 is even more than that in the bull market in 2007. The proportion of the top ten shareholders in the stock market, that is, the industrial capital is relatively concentrated, while the proportion of the financial capital is more and more mature according to the maturity of the securities market in our country. Both industrial capital and financial capital have the characteristics of high selling and low buying, and the investment behavior of the two kinds of capital forces is related to the stock price. The discount rate of closed-end fund is also related to the fluctuation of stock capital market. When the absolute value of closed-end fund discount rate is high, the capital market is in a bull market, and when the discount rate is low, the capital market is in a bear market. This paper selects the stock fund Z fund, analyzes the industry distribution and the change of the proportion of the holding positions of the target stocks by using its open data, and analyzes the ability of the fund to control the intrinsic value and the price of the stock. The ability to control risk and timing ability. The conclusion of the forecast index system is used to test the timing ability of Z fund. The analysis shows that the investment style of the fund is more aggressive, the risk control ability is poor, the timing ability is weak, and the fund has a weak specialization level when it reinvest. The innovation of this paper is to construct an index system around the city rate to predict the basic characteristics of the non-daily stage of the stock capital market. The main contributions of this paper are as follows: based on the established index system around the city rate, the data values of the peak stage of the two bull markets are calculated, and the timing ability of the Z fund is tested by using the calculated data of the forecast index system. And Z fund's timing ability is also calculated through the corresponding index system.
【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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本文編號：2181672