發(fā)布時(shí)間：2018-01-01 01:05

  本文關(guān)鍵詞：基于交易策略的中國股市長短期風(fēng)險(xiǎn)收益關(guān)系實(shí)證研究　出處：《西南財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 風(fēng)險(xiǎn)收益關(guān)系 漲跌停板制度 交易策略 風(fēng)險(xiǎn)態(tài)度

【摘要】：目前,中國股市正蓬勃發(fā)展,在這樣關(guān)鍵的時(shí)刻,對(duì)股票市場風(fēng)險(xiǎn)收益關(guān)系的實(shí)證研究尤為重要,因?yàn)轱L(fēng)險(xiǎn)收益關(guān)系是金融界的基本問題。自資本資產(chǎn)模型用嚴(yán)謹(jǐn)?shù)臄?shù)學(xué)推導(dǎo)告訴我們風(fēng)險(xiǎn)與收益是正向線性關(guān)系以來,國內(nèi)外出色的學(xué)者從未被其復(fù)雜的數(shù)學(xué)推導(dǎo)和諾貝爾獎(jiǎng)的地位所震懾,相反,他們做了很多基礎(chǔ)但是很有意義的工作來驗(yàn)證均值一方差模型下的風(fēng)險(xiǎn)收益關(guān)系,令人欣慰的是他們?nèi)〉昧送黄?并以詳實(shí)的數(shù)據(jù),極富邏輯性地證明了逆向風(fēng)險(xiǎn)收益關(guān)系存在的可能性。對(duì)這一關(guān)系的研究能告訴我們中國股市的運(yùn)行特征,能告訴我們股市眾多投資者的分布情況(短期投機(jī)者與長期投資者的數(shù)量比較),能告訴我們投資者在做投資決策的時(shí)候是否是理性的,能告訴我們投資者的風(fēng)險(xiǎn)態(tài)度,能讓我們理解中國股市的運(yùn)行規(guī)律,能為我們的監(jiān)管部門提供制定法律法規(guī)政策的依據(jù)等,這些都是極具理論和現(xiàn)實(shí)意義的。 在這篇論文中,我將對(duì)引入漲跌停板制度后的中國股市的風(fēng)險(xiǎn)收益關(guān)系進(jìn)行研究。首先闡述現(xiàn)有的國內(nèi)外關(guān)于股市風(fēng)險(xiǎn)收益關(guān)系的相關(guān)理論和文獻(xiàn),然后以中國滬市A股上市公司為研究對(duì)象,分析在引入漲跌停板制度之后的中國股市長短期風(fēng)險(xiǎn)與收益的關(guān)系。 基于國外學(xué)者提出的組合構(gòu)造方法和國內(nèi)學(xué)者應(yīng)用此方法對(duì)中國股市的實(shí)證研究,我們結(jié)合漲跌停制度,并考慮到長短期風(fēng)險(xiǎn)與收益關(guān)系的可能不同,對(duì)模型加以改進(jìn)使其更貼近中國國情。首先選擇滬市A股作為研究對(duì)象,考察區(qū)間為1997年1月1日至2012年12月31日,選擇在1997年1月1日之前已經(jīng)在上海證券交易所上市的股票作為樣本股,然后利用馬科維茨的均值方差模型找出歷史風(fēng)險(xiǎn)最小股票組合和風(fēng)險(xiǎn)最大股票組合(給定時(shí)間間隔,給定抽樣數(shù)目,給定權(quán)重約束),持有兩種組合一定時(shí)間(三個(gè)月或者一個(gè)季度),一定時(shí)期后,重復(fù)以上過程,最后得到在過去時(shí)期風(fēng)險(xiǎn)最小和風(fēng)險(xiǎn)最大的股票組合收益時(shí)間序列,比較兩個(gè)收益時(shí)間序列的均值、標(biāo)準(zhǔn)差、系統(tǒng)性風(fēng)險(xiǎn)。為避免一次模擬無法進(jìn)行統(tǒng)計(jì)檢驗(yàn),對(duì)以上過程模擬100次,并進(jìn)行配對(duì)雙樣本T檢驗(yàn)。 通過本文的實(shí)證研究,我們的結(jié)論是：從短期來看,中國股市的風(fēng)險(xiǎn)收益關(guān)系存在不確定性,既不像CAPM模型推導(dǎo)的正相關(guān),也不像趙偉、汪銳所說的負(fù)相關(guān),可能是趙偉、汪銳的樣本選擇是1994年1月至2004年12月,這期間中國實(shí)行了漲跌停板制度,而未考慮這一制度變化的實(shí)證結(jié)論是值得懷疑的。關(guān)于短期非負(fù)相關(guān),我們的解釋是：在短期,在以月度為時(shí)間間隔的情況下,股市未表現(xiàn)出如趙偉、汪銳所說的負(fù)相關(guān),是因?yàn)闈q跌停板制度抑制了股市的投機(jī),遏制了過度反應(yīng)現(xiàn)象,在一定程度上改變了中國股市收益風(fēng)險(xiǎn)關(guān)系,使股市的有效性增強(qiáng),也說明中國股市正在逐漸走向成熟。 至于為什么表現(xiàn)出不確定性,我們認(rèn)為主要有兩個(gè)原因：其一,行為金融學(xué)告訴我們投資者的風(fēng)險(xiǎn)態(tài)度是不確定的。當(dāng)牛市來臨的時(shí)候,股價(jià)瘋漲,投資者卻完全不顧高得離譜的股價(jià)和接下來可能大跌的風(fēng)險(xiǎn),他們依然會(huì)選擇買入股票,這個(gè)時(shí)候他們表現(xiàn)出風(fēng)險(xiǎn)偏好,而當(dāng)熊市來臨時(shí),他們又傾向投資比較安全的資產(chǎn),因此表現(xiàn)出風(fēng)險(xiǎn)規(guī)避。總的來說,投資者的風(fēng)險(xiǎn)態(tài)度隨著市場行情的好壞而變化。另外,投資者對(duì)不同的股票——盈利與虧損表現(xiàn)出不同的風(fēng)險(xiǎn)態(tài)度。當(dāng)股票盈利時(shí)表現(xiàn)出風(fēng)險(xiǎn)規(guī)避,當(dāng)股票虧損時(shí)表現(xiàn)出風(fēng)險(xiǎn)偏好。投資者風(fēng)險(xiǎn)態(tài)度的轉(zhuǎn)變的宏觀表現(xiàn)就是股市風(fēng)險(xiǎn)收益關(guān)系的不確定性。尤其是在短期,當(dāng)股市大部分投資者表現(xiàn)出風(fēng)險(xiǎn)規(guī)避時(shí),股市的風(fēng)險(xiǎn)收益是正相關(guān)的,當(dāng)股市大部分投資者表現(xiàn)出風(fēng)險(xiǎn)偏好時(shí),股市的風(fēng)險(xiǎn)收益是負(fù)相關(guān)的。其二,漲跌停制度的引入在一定程度上促進(jìn)了投資者的理性投資,但是這是一個(gè)漫長的過程,中國股市仍具較強(qiáng)的投機(jī)性。有不少學(xué)者通過研究發(fā)現(xiàn)中國股市具有很強(qiáng)的投機(jī)性(從短期來看)。短期投機(jī)者看似是在追逐高風(fēng)險(xiǎn)高收益,實(shí)際上造成了逆向的風(fēng)險(xiǎn)收益關(guān)系。這就是波動(dòng)反饋效應(yīng)理論：波動(dòng)率對(duì)當(dāng)前風(fēng)險(xiǎn)溢價(jià)有負(fù)向影響。但是,股市當(dāng)中也存在價(jià)值投資者,他們不會(huì)為短期的波動(dòng)所干擾。而股市短期的風(fēng)險(xiǎn)與收益的不確定性正是短期投機(jī)者與長期投資者的博弈結(jié)果。有時(shí)候瘋狂戰(zhàn)勝了理智,則股市的風(fēng)險(xiǎn)關(guān)系表現(xiàn)為逆向風(fēng)險(xiǎn)收益關(guān)系,而另一些時(shí)候理智占據(jù)了上風(fēng),則股市的風(fēng)險(xiǎn)收益關(guān)系表現(xiàn)為正向風(fēng)險(xiǎn)收益關(guān)系。 從長期來看,股市最終是會(huì)回歸理性的,長期的價(jià)值投資者必將戰(zhàn)勝短期的投機(jī)者,這也正是本文的研究結(jié)論之一。風(fēng)險(xiǎn)—收益權(quán)衡效應(yīng)描述了長期投資者的投資行為,波動(dòng)反饋效應(yīng)則在短期交易者身上體現(xiàn)得比較明顯,而兩種效應(yīng)間的強(qiáng)弱對(duì)比決定了證券市場總的風(fēng)險(xiǎn)收益關(guān)系。 本文的貢獻(xiàn)：(1)首先是研究方法上的貢獻(xiàn)。幾乎所有對(duì)股市風(fēng)險(xiǎn)收益關(guān)系的實(shí)證研究都是基于計(jì)量模型,基于CAPM模型的計(jì)量分析往往容易導(dǎo)致“聯(lián)合檢驗(yàn)”問題,因?yàn)闄z驗(yàn)CAPM模型需要在有效市場的環(huán)境下進(jìn)行,市場有效是CAPM模型的一個(gè)重要假設(shè)；而檢驗(yàn)市場有效須有一個(gè)正確的資產(chǎn)定價(jià)模型。這就會(huì)產(chǎn)生一個(gè)問題,CAPM模型和市場的有效性必須同時(shí)檢驗(yàn),即“聯(lián)合檢驗(yàn)”問題。而本文的研究方法采用的是構(gòu)造一種交易策略或者交易規(guī)則來檢驗(yàn)風(fēng)險(xiǎn)收益的關(guān)系,這樣的好處是避開計(jì)量模型的苛刻假設(shè)條件,也有效地回避了“聯(lián)合檢驗(yàn)”問題。(2)其次本論文明確考慮中國股市的發(fā)展?fàn)顩r和發(fā)展特征,以避免“拿來主義”錯(cuò)誤。中國股市有其獨(dú)特的地方,如漲跌停板制度。許多學(xué)者的研究也證實(shí)了漲跌停板制度改變了投資者的投資行為,抑制了股市的投機(jī)氛圍,從而改變了股市風(fēng)險(xiǎn)收益關(guān)系。(3)最后本文并沒有將研究局限于某固定數(shù)量的股票,也不局限與分析特定時(shí)間間隔的收益風(fēng)險(xiǎn)關(guān)系,而是充分考慮三個(gè)因素(抽樣數(shù)量、權(quán)重約束、時(shí)間間隔)對(duì)風(fēng)險(xiǎn)收益關(guān)系的可能影響,這樣研究結(jié)論更加的完整一體。其中最突出的是考慮了長期與短期的不同效應(yīng),因?yàn)楣墒械拈L期與短期投資策略顯然是不一樣的,投資者在不同時(shí)間跨度的行為模式不同導(dǎo)致了風(fēng)險(xiǎn)收益關(guān)系的變化,最終關(guān)系則取決于兩者力量的此消彼長。
[Abstract]:At present, Chinese stock market is booming, at this critical moment, the empirical research on the relationship between stock market risk and return is particularly important, because the risk return relationship is a basic problem in the financial sector. The rigorous mathematical derivation from the capital assets model tells us the risks and benefits are positive linear relationship between the domestic and foreign scholars has never been good the mathematical derivation of the complex and the Nobel prize for the position of shock and awe, on the contrary, they do a lot of basic but meaningful work to verify the relationship between return and risk mean variance model, thankfully they made a breakthrough with full and accurate data, a logic to prove the possibility of the existence of the relationship between reverse risk return. Research on this relationship can tell us Chinese stock market characteristics, can tell us the distribution of stock market investors (short-term speculators and long The number of investors, the comparison period) when we can tell investors in the investment decision-making is rational, can tell us the risk attitude of investors, operating rules can make us understand the China stock market, can provide the basis for the formulation of laws and regulations policy our authorities, which are of great theoretical and practical significance to the.
In this thesis, I will study the introduction of price limits after China stock market risk return relationship. Firstly, the existing domestic and foreign theories about the relationship between risk and return of stock market and the literature, and then to Chinese Shanghai A shares listed companies as the research object, analysis of the relationship between Chinese stock market risk and return in the long term after the introduction of the price limits.
An empirical study of foreign scholars and domestic scholars combined construction method of using this method to predict the stock market based on China, we combine the price limit system, and taking into account the relationship between risk and return period may be different, the model is improved to make it more close to the China conditions. The first choice of Shanghai A stock market as the research object, the study interval for January 1, 1997 to December 31, 2012, in January 1, 1997 before the shares on the Shanghai stock exchange as samples, and then find out the history of the minimum risk stock portfolio and risk the largest stock portfolio by Markowitz's mean variance model (a given time interval, given the number of samples of a given weight restriction), holding two combinations for a certain period of time (three months or one quarter), after a certain period of time, repeat the above process, finally obtained in the past period of minimum risk and risk the largest stock A combined profit time series is used to compare the mean, standard deviation and systemic risk of the two time series. In order to avoid the statistical test of one simulation, the above process is simulated for 100 times, and a paired double sample T test is conducted.
Through the empirical research, we conclude that in the short term, the uncertainty of stock market risk return relationship China, neither CAPM model is relevant, unlike Zhao Wei, Wang Rui said negative correlation, it could be Zhao Wei, Wang Rui of sample selection is from January 1994 to December 2004, during which Chinese implementation the price limit system, without considering the empirical results of this regime change is questionable. A short-term non negative correlation, our interpretation is: in the short term, in the monthly time intervals, the stock market did not show such as Zhao Wei, Wang Rui said negative correlation, because of price limits suppress the stock market speculation, curb the overreaction phenomenon, changed the relationship between return and risk Chinese stock market to a certain extent, the effectiveness of the stock market increased, also shows that the Chinese stock market is gradually maturing.
As for why show uncertainty, we believe that there are two main reasons: first, behavioral finance tells us the risk attitude of investors is uncertain. When the bull market, the price skyrocketing, investors are ignoring the ridiculously high price and then can crash risk, they would still choose to buy stocks this time, they showed the risk preference, and when the bear comes, they tend to invest in relatively safe assets, thus showing a risk aversion. In general, the investor's risk attitude changes with market trends. In addition, different investors of different stocks in the profit and loss performance of risk attitude. When the stock earnings showed risk aversion, when stock losses showed the risk preference. The macroscopic change risk attitude of investors is the stock market risk return relationship The uncertainty. Especially when the stock market in the short term, most investors demonstrated risk aversion, the risk of the stock market return is positively related to the stock market, when most investors showed risk preference, the risk of the stock market return is negatively related. Secondly, the introduction of price limit system to a certain extent, promote the rational investment of investors. But this is a long process, China stock market remains strong speculative. Many scholars have found that China stock market is very speculative through research (in the short term). The short-term speculators seem to be in pursuit of high risk high return, actually caused the risk return relationship in reverse. This is the volatility feedback effect theory the current volatility risk premium is negative. However, the stock market also exist among value investors, they will not interfere with short-term fluctuations. While the stock market short-term risk and return The uncertainty is the game results of short-term speculators and long-term investors. Sometimes crazy wins, then the risk of the stock market in relation to reverse relationship between risk and return, and sometimes the reason prevailed, the stock market risk return relationship showed positive risk return relationship.
In the long term, the stock market will eventually return to rational, long-term value investors will overcome short-term speculators, which is also one of the conclusions of this study. The risk return trade-off effect describes the investment behavior of long-term investors, volatility feedback effect in short-term traders who reflect more obvious, and contrast two kinds of effects which determine the relationship between stock market total risk return.
The contribution of this paper: (1) the first is the research method. The contribution of almost all of the benefits and risks of the stock market empirical research is based on the econometric model, quantitative analysis of the CAPM model tends to lead to "joint inspection" problem based on CAPM model to test because of the efficient market environment, the market is an effective an important assumption of the CAPM model; and testing the market efficiency must have a correct asset pricing model. This will be a problem, the validity of CAPM model and the market must also test, namely "joint inspection". And the research methods in this paper is used in relation to construct a trading strategy or trading rules test the risk return, this advantage is to avoid the econometric model to harsh assumptions, but also effectively avoid the "joint inspection". (2) the dissertation explicitly consider Chinese stock market development Development situation and development characteristics, in order to avoid the "copycat" mistakes. Have their own unique place China stock market, such as price limit system. Many scholars have confirmed that price limits changed the investment behavior of investors, suppress the stock market speculation atmosphere, thus changing the relationship between risk and return of stock market (3) at the end of this paper. Is not limited to a fixed number of shares, is not limited to the relationship between return and risk analysis and specific time interval, but considering the three factors (sample number, weight constraint, time interval) may affect the risk return relationship, this research conclusion one more. One of the most prominent is considered. The different effects of long-term and short-term, because the stock market's long-term and short-term investment strategy is obviously not the same, the investors in different time span different patterns of behavior leads to the risk return relationship The ultimate relationship depends on the change of the strength of the two.

【學(xué)位授予單位】：西南財(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

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