中国股指均线心理关口效应的实证研究 硕士毕业论文.doc
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1、I 中国股指均线心理关口效应的实证研究 摘摘 要要 近年来,随着我国的股票市场迅速发展,股票作为一种投资选择也逐步受到投资者 的关注。在股票投资中,移动平均线一直是一种较为常用的投资指标。投资者在运用均 线进行股票投资的过程中,形成了一定的较为统一的认识,认为均线具有助涨助跌、支 撑压力作用,即均线存在心理关口效应。在现有的研究中,关于股票的心理关口的研究 大多集中于固定点位(如 50 分位、100 分位等),关于均线是否具备心理关口效应却鲜有论 及。投资者的均线投资策略能否得到证据支持?在众多的股票指数均线中,哪些均线存 在心理关口效应?股票指数均线的心理关口效应对股票指数的收益率又会产生怎
2、样的影 响?运用股票指数心理关口进行投资能否取得超额收益?对这些问题的研究具有重要的 现实意义。 本文选取在我国证券市场上有较大的影响力的上海证券交易所的上证综合指数和深圳 证券交易所的深证成份股指数作为研究对象,通过建立模型、统计检验、数据模拟等方 法对我国证券市场股票指数均线是否具有心理关口效应、股指均线对收益率的影响及利 用均线交易策略投资的可行性三个方面展开论述。 首先,本文对现有的研究固定点位心理关口效应的模型进行改进,并用乖离率指标作 为代理变量,使之适合对均线心理关口效应进行验证。同时,针对原有模型固有的只能 从总体上检验心理关口效应,而无法区分股指向上(向下)突破均线时的不同表
3、现,设 计黑箱突破模型,并运用之实现对均线心理关口效应的检验。其次,本文研究了股指突 破均线前后收益率的变动情况,结果证明均线具有助涨助跌的特性,股指在向上突破均 线后,会进一步的上涨,而股指向下突破均线后会继续下跌。根据这一特性,笔者设计 模型观察了股指在均线两侧不同区间的收益率情况。最后,本文在以上研究证明均线存 在心理关口效应的基础上,根据常用的均线设计了简单均线交易策略和加入带宽的均线 交易策略,并运用这些交易策略对上证综指和深证成指进行模拟投资。 通过上述方法,经过实证分析,得到如下结论。在运用驼峰分布在检验均线心理关 口效应模型中,上证综指的 10 日、30 日、60 日均线及深证
4、成指的 60 日均线有较强的心 理关口效应。另外,在黑箱突破模型中,作者发现均线支撑作用和压力作用是不对称的, 上证综指和深证成指在向上突破中短期均线时受到显著的压力作用,而向上突破长期均 线压力作用不明显,而向下突破均线时,均线的支撑效果亦不显著。总体上说,某些均 线存在心理关口效应,但是均线的心理关口效应对于股指支撑和压力作用是不一样的。 通过回归分析,作者发现股指在突破均线前后收益率存在显著的相关性,即股指均线 有明显的助涨助跌的特性。当股指向上突破均线后,股指收益率显著为正,而当股指向 II 下突破均线后,股指收益率显著为负。同时对针对均线附近区间收益分析时发现,股指 在向上突破均线时
5、显得较为犹豫,而向下突破均线时有较强的惯性,这也可以看作是均 线压力作用和支撑作用不对称的证据。在分析得出均线存在心理关口效应,而且其会对 股指收益产生显著影响的基础,我们构建了简单的利用均线的交易规则,分别在无带宽 和加入适当带宽的情况下进行模拟投资,结果发现在加入适当的带宽后,大部分利用均 线进行投资的方法都可以取得超越大盘收益。 关键词关键词:均线 心理关口 乖离率 行为金融 III Empirical Research on Psychological Barriers of MAs in Chinese stock index Abstract In recent years, wi
6、th the development of security market in China, more and more investors paid their attention to the stocks, which were thought as one of the best investment choice for them. In the stock investment, MAs(moving averages) always are a kind of frequently-used indicators. Investors used some uniform cog
7、nition during the investment, for which the moving averages that had the ability of aiding rise and down, support and pressure, which can be considered as the psychological barriers effect. In the current study, most of the research on the psychological barriers about the stocks were concentrated on
8、 the fixed point, but the psychological barriers about the MAs was rarely discussed. If there is any evidence that can support the investors for the MA strategies? Which one has the psychological barriers effect to the large MAs? What is the influence of the psychological barriers of MAs, if they ha
9、ve, to the return of the stock index? Could the investment get excess earnings by using the psychological barriers of the stock index? The research of these problems has important realistic significance. Firstly, this paper chose the models which were used to studying the psychological barriers effe
10、ct for the fixed point and making the BIAS as the proxy variables, so that it is suitable for MAs to verify stock index. At the same time, in consideration of the original model which could prove the psychological barriers effect in large measure, but it cannot distinguish the different expression o
11、f breaking through the MAs when it upwards or downwards. So the black box breakthrough model was obeyed to proving the psychological barriers effect of the MAs. Secondly, this paper studies the changes of the profit rate when the index break through the MAs. The results proved that the MAs had the a
12、bility of aiding rise and down. The stock index would rise further when it passed through the moving average, but it would fall sequentially. Meanwhile, the author set up another model to detect the difference of the return rate for the stock index at the both side of the MAs. At last, on the basis
13、of the existence of psychological barriers effect, the author build a simple MAs trade strategy as well as MAs trade strategy with bandwidth models, and use these models to simulate the tradition of SHSE Composite Index and XZSE Component Index. Through the method was mentioned above, and then finis
14、hed the empirical IV analysis, the following conclusions was obtained. In the model of hump distribution test which is devised to prove the psychological barriers effect of MA, 10, 30, 60 days MA in SHSE and 60 days MA in SZSE exert obvious effect of psychological barriers. Moreover, in the model of
15、 black box breakthrough, the author find that the support and pressure are asymmetrical. The SHSE Composite Index and the SZSE Component Index suffer a lot when they breakthrough short and medium MA upwards, but it is unapparent to the long-run MA. When the indexes breakthrough MA downwards, the sup
16、port of the MA is indistinctive. In summary, some MAs had the effect of psychological barriers, but it is different to the support and pressure in the stock market index . Though regression analysis, the author found the whole rate of return, which had apparent relativity to the breakthrough MAs, th
17、at is, the MAs of stock index have prominent ability of aiding rise and down. The rate of return is positive when the index breakthrough the MAs upwards, but the rate of return is negative when the index breakthrough the MAs downwards. The author found that the stock indexes hesitate to break throug
18、h the MAs upwards, but when they break through the MAs downwards, a strong inertia is showed. This can also be seen as the evidence of the asymmetry to the effect of support and pressure. In the basis of the conclusion of psychological barriers effect to the MAs as well as the MAs could affect the r
19、ate of return of stock index, the author construct some simple trading rules for MAs , and did some simulate investment respectively, in the case of no bandwidth or adding appropriate bandwidth. The results proved that when we added appropriate bandwidth, most of the simple MA trade laws could get a
20、 great return . Key words: MA, Psychological Barriers, BIAS, Behavioral Finance V 目目 录录 一、引言一、引言1 (一)股指均线心理关口研究的背景与意义1 (二)论文的研究内容与创新之处3 (三)论文结构3 二、文献综述二、文献综述4 (一)国外心理关口研究文献综述4 (二)国内心理关口研究文献综述5 三、分析方法三、分析方法6 (一)研究对象6 (二)均线心理关口效应的检验7 1、乖离率频率分布检验.7 2、均线心理关口效应的驼峰分布检验.8 3、关于经典心理关口检验方法的一些想法.9 4、检验均线心理关口效应
21、的黑箱突破模型.10 (三)均线心理关口效应对收益率的影响11 1、均线心理关口效应对收益率的影响.11 2、检验均线心理关口效应的收益率异常模型.12 (四)均线规则交易策略的可行性13 四、实证研究四、实证研究15 (一)样本数据的选取15 (二)均线心理关口效应的检验17 1、乖离率频率分布检验.17 2、均线心理关口效应的驼峰分布检验.18 3、检验均线心理关口作用的黑箱突破模型.20 (三)均线心理关口效应与收益率25 1、均线心理关口效应对收益率的影响.25 2、心理关口效应在收益率分布上的证据.28 (四)股指均线心理关口投资可行性分析32 1、简单均线交易策略收益率分析.32
22、2、加入带宽的均线交易策略收益率分析.34 五、结论及展望五、结论及展望38 VI (一)本文主要结论38 (二)对投资者的建议38 (三)本文的不足与展望39 参考文献参考文献40 攻读硕士期间发表的论文及参与的课题攻读硕士期间发表的论文及参与的课题43 1 一、引言一、引言 (一)股指均线心理关口研究的背景与意义(一)股指均线心理关口研究的背景与意义 中国股票市场经过二十多年的发展,取得了非凡的成就。截至 2010 年底,在中国股 票市场成功上市的公司有 2063 家,其中有境内上市外资股(B 股)108 家,股票总市值 超过 265422 万亿元,股票市场总市值占国民生产总值的比例达到
23、66.7%,股票市场作为 国家经济晴雨表的作用愈加突出。与此同时,国内民众对股证券市场的认知程度也逐步 提高,其中 A 股有效账户总数超过 1.34 亿户。 随着股票市场的发展,其对我国的经济发展及人民生活的影响逐渐扩大,而股票价 格指数作为股票市场整体行情的指标也受到了越来越多的关注。股票价格指数是指由证 券交易所或金融服务机构编制的反映股票市场总体行情变动的指标。编制股票指数,首 先要进行抽样,从众多股票中抽取少数具有代表性的成份股;其次进行加权计算,通常 以某年某月为基础,以这个基期的股票价格作为整数单位,例如 100 或 1000,用以后各 时期的股票价格和基期价格比较,计算出升降的百
24、分比,就是该时期的股票指数。由于 上市股票种类繁多,计算全部上市股票的价格平均数或指数的工作是艰巨而复杂的,因 此人们常常从上市股票中选择若干种富有代表性的样本股票,并计算这些样本股票的价 格平均数或指数。用以表示整个市场的股票价格总趋势及涨跌幅度。目前世界上具有代 表性的股票价格指数有:道琼斯股票指数、金融时报证券交易所指数、标准普尔股票 价格指数、日经道琼斯股价指数、香港恒生指数等。我国主要的股票价格指数有上证 股票指数、深圳综合股票指数、沪深 300 指数等。因为股票价格指数具有简洁、及时等 特点,经常被新闻界及至政界领导人拿来作为观察、预测社会经济发展形势的重要指标。 股票价格指数是一
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