基于A股牛市顶峰特征的Z基金择时能力分析
发布时间：2018-08-13 17:24
【摘要】：近20年里我国的股票市场指数的波动跌宕起伏,其中股票市场中的机构投资者—公募基金的业绩波动尤其大,而公募基金此种业绩表现是由于公墓基金的择时能力不强。因此,建立合理的指标体系来评价公墓基金的择时能力能够助推基金业绩的稳定表现,进而稳定股票市场的指数波动。而截至到目前判定公墓基金的择时能力的衡量指标仍是世界性的金融难题。目前基金择时能力指标体系研究多采取参数检验的方式,而该方式存在的前提假设过多,且此类参数检验的模型均涵盖了择时、择股能力分析,择时择股能力存在负相关,因此基于此类模型的基金评价结果值得考虑。本文试图采用非参数检验的方式进行基金择时能力分析,构建以市内率为主要指标的相关指标体系,结合股票证券资本市场的熊市低谷和牛市顶点的基本特征预测指标数值,来检验Z基金在资本市场非日常阶段的择时表现。文章以深证A股市场的数据为研究对象,总结包括2007年与2015年两次牛市顶峰时点的市内率等估值特征指标、庄家控盘度指标以及封闭式基金的折价率共计三大类指标特征。透过对获得数据的描述性统计分析可知,两次牛市顶峰时点的泡沫程度严重,2015年牛市泡沫程度更甚于2007年牛市。庄家控盘中的前十大股东占股比例,即产业资本相对集中;而金融资本的持股比例则依据我国证券市场逐渐成熟而愈发的高涨。产业资本与金融资本均有高抛低买的特质,两种资本力量的投资行为均与股票价格有相关性。封闭式基金折价率与股票资本市场波动亦相关,当封闭式基金折价率绝对值高时,资本市场处于牛市;当折价率绝对值低时,资本市场处于熊市。文章选择了股票型基金— Z基金,利用其公开数据分析该基金持有对象个股行业分布情况、持重仓比例变化情况,分析该基金对股票内在价值与价格的把控能力,对风险的把控能力以及择时能力的强弱。利用预测指标体系结论来检验Z基金的择时能力,分析得知该基金的投资风格较为冒进,风险把控能力较差,择时能力偏弱,该基金进行再投资时,表现出较弱的专业化水平。文章的创新点主要是构建了围绕市内率为主的指标体系,用以预测股票资本市场非日常阶段的基本特征。文章的主要贡献:依赖构建的围绕市内率为主的指标体系计算得出了两次牛市顶峰阶段的数据值;利用计算得出的预测指标体系数据来检验了 Z基金的择时能力,而Z基金的择时能力亦是通过相应的指标体系来进行计算的。
[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.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
本文编号：2181672
[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.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
【参考文献】
相关博士学位论文 前2条
1 吴敏晓;基于市场交易视角的中国上市公司大股东行为研究[D];华东师范大学;2011年
2 郭飞舟;乔治·索罗斯金融投资思想研究[D];复旦大学;2005年
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