本文選題：風(fēng)格投資　切入點(diǎn)：市場(chǎng)意象　出處：《吉林財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著中國股票市場(chǎng)的發(fā)展，市場(chǎng)上越來越多的股票存在，單一的研究一只股票并進(jìn)行預(yù)測(cè)已不能滿足投資的需要，從而風(fēng)格投資則越來越受到機(jī)構(gòu)投資者的關(guān)注。二十世紀(jì)六十、七十年代，法瑪所提出了“有效市場(chǎng)假說”，隨著各國學(xué)者深入的研究，發(fā)現(xiàn)了各種傳統(tǒng)金融理論無法解釋的“市場(chǎng)異象”，隨著學(xué)術(shù)界對(duì)“市場(chǎng)異象”的深入研究，風(fēng)格投資的理論雛形開始建立。對(duì)風(fēng)格投資理論進(jìn)行了一定的充實(shí)。本文則是基于這些學(xué)者研究?jī)?nèi)容的基礎(chǔ)上，對(duì)上證指數(shù)，大盤股指數(shù)，小盤股指數(shù)，價(jià)值股指數(shù)，成長(zhǎng)股指數(shù)進(jìn)行深入的研究，發(fā)掘其中的隱含周期，利用氣象學(xué)應(yīng)用的譜分析方法，從大量信息中發(fā)現(xiàn)隱含周期。 本文選取的是上證指數(shù)，申銀萬國大盤股指數(shù)，，申銀萬國小盤股指數(shù)，中信價(jià)值股指數(shù)，中信小盤股指數(shù)，選取的區(qū)間從2000年1月4日到2011年6月29日的數(shù)據(jù)，利用奇異譜分析的計(jì)算原理，把原始數(shù)據(jù)進(jìn)行分解，通過Kendall檢驗(yàn)判斷趨勢(shì)項(xiàng)并去除，之后重構(gòu)數(shù)據(jù)，再次利用奇異譜分析，通過特征值的關(guān)系來判斷剔除趨勢(shì)項(xiàng)之后數(shù)據(jù)的周期，利用得到的周期，通過SPSS軟件對(duì)方程與系數(shù)進(jìn)行檢驗(yàn)，最后結(jié)合三角函數(shù)的變化公式，計(jì)算出五種指數(shù)的相位并換算成天數(shù)，與上證指數(shù)的相位進(jìn)行對(duì)比，得出不同風(fēng)格與上證指數(shù)的領(lǐng)先之后關(guān)系。 本文的創(chuàng)新點(diǎn)在于以前的學(xué)者風(fēng)格投資具有較強(qiáng)的實(shí)際應(yīng)用價(jià)值，因此本領(lǐng)域一直是投資理論研究的熱點(diǎn)。從現(xiàn)有的國內(nèi)外研究成果分析，風(fēng)格投資的研究具有兩個(gè)發(fā)展趨勢(shì)：一是基于市場(chǎng)數(shù)據(jù)對(duì)于風(fēng)格投資規(guī)律更加細(xì)致全面的實(shí)證分析，包括投資風(fēng)格的生命周期研究、風(fēng)格輪換周期研究以及風(fēng)格輪換影響因素的研究。二是對(duì)于風(fēng)格投資的理論解釋，這屬于行為金融理論范疇。本論文旨在利用數(shù)據(jù)來研究規(guī)律，尚未涉及到對(duì)于風(fēng)格投資存在機(jī)理的研究，而 這一研究?jī)?nèi)容需要行為金融的研究進(jìn)展。實(shí)際上，理論上的突破取決于實(shí)證研究的進(jìn)展。
[Abstract]:With the development of Chinese stock market, more and more stocks exist in the market. In 20th century, 60 and 70s, Fama put forward the efficient Market hypothesis. "Market anomalies", which can not be explained by various traditional financial theories, have been discovered. With the in-depth study of "Market anomalies" in academic circles, The theory of style investment is beginning to be established. It enriches the theory of style investment. This paper is based on the research content of these scholars, on the basis of the index of Shanghai Stock Exchange, the index of large-cap stocks, the index of small-cap stocks, the index of value stocks. The growth stock index is studied deeply, and the hidden period is found from a large amount of information by using the spectral analysis method applied in meteorology. This paper selects the Shanghai stock index, the Shenyin Wanguo large-cap index, the Shenyin Wanguo small-cap index, the Citic value index, the Citic small-cap index, and the data from January 4th 2000 to June 29th 2011. Using the calculation principle of singular spectrum analysis, the original data is decomposed, the trend term is judged and removed by Kendall test, then the data is reconstructed, and the singular spectrum analysis is used again. The relationship of eigenvalue is used to judge the period of data after the trend item is eliminated. The obtained period is used to test the equation and coefficient by SPSS software. Finally, the variation formula of trigonometric function is combined. The phase of the five indices is calculated and converted into days, and compared with the phase of Shanghai Stock Exchange Index, the relationship between different styles and the leading index of Shanghai Stock Exchange Index is obtained. The innovation of this paper is that the former scholars' style investment has strong practical application value, so this field has always been the hot spot of investment theory research. The research of style investment has two development trends: one is a more detailed and comprehensive empirical analysis of style investment law based on market data, including the life cycle study of investment style. The second is the theoretical explanation of style investment, which belongs to the category of behavioral finance. The research on the existence mechanism of style investment has not been involved. In fact, the theoretical breakthrough depends on the progress of empirical research.
【學(xué)位授予單位】：吉林財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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