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论文编号：	2316
作者编号：	2120082151
上传时间：	2010/6/8 20:42:43
中文题目：	投资组合理论与K线理论的实证研究
英文题目：	An Empirical Research on Investment Portfolio Theory and K-line Theory
指导老师：	齐岳
中文关键字：	经典投资组合理论;技术分析;K线理论;市场有效性
英文关键字：	Classic investment portfolio theory;Technical analysis theory;K-line theory;Efficient market
中文摘要：	随着全球经济尤其是金融市场的快速发展，1952年美国学者哈里•马克维兹（Harry M. Markowitz）提出了投资组合选择理论，同时也标志着现代金融投资组合理论的建立，从此，金融市场的投资才逐步走向科学化。而技术分析理论虽然已产生已久，但由于其假设的脆弱性，导致对其的质疑声一直很大。技术分析理论并没有像投资组合理论那样受到广泛的认可与尊重，甚至遭遇了众多学者的批判。当然也有很多学者从各个角度论证了技术分析的有用性，因此在学术界以及实务界，技术分析始终是一个较为敏感的话题，存在着广泛的争议。 之前的研究对投资组合理论和技术分析理论都进行过较为详尽的描述，但并没有学者系统比较过这两个理论。因此，本文正是基于这个角度出发，对按照证监会分类的13个行业中的市值最大的13支股票，分别采用经典投资组合理论和周K线测市理论进行分析并建立投资组合，通过相关数据进行检验，进一步验证中国资本市场的欠优化，来弥补这个角度的研究空白。 本文选取2006年1月——2009年12月的数据，利用前一阶段的数据按照两种理论分别建立投资组合，再结合上三个市场指数代表市场组合，然后利用后一阶段的数据两两进行T检验，依次类推，循环进行，这种方法本身也具有一定的创新性。同时，本文根据Markowitz和Todd提供的软件Optimizer可以计算出精确的有效边界，而国内以前相关研究仅能计算出有效边界的几个点。因此本文在这处的计算进行了有一定的改进。 在本文的实证部分，我们输出了这样的实证结果：在全部的七个阶段中，按照经典投资组合理论建立的投资组合与按照K线理论建立的投资组合之间都是没有差异的；在全部的七个阶段中，按照K线理论建立的投资组合与市场组合之间是没有差异的；除了第一阶段、第六阶段，按照经典投资组合理论建立的投资组合优于市场组合外，其他阶段两者无差异。 经典投资组合理论本身具有很强的理论意义与实践意义，但在本文的实证研究中我们发现，其与K线理论及市场投资组合相比并没有占有优势；同时，根据市场有效性理论，K线理论应当是无用的，但在我们的实证研究中，其并没有表现出劣势。因此，本文在结论部分试着从几个方面对实证结果进行解释。
英文摘要：	With the rapid development of global economic and financial markets, American scholar Harry M. Markowitz published his famous portfolio selection theory in 1952, which symbolizes the formation of modern financial portfolio theory. Since then, the investments in financial markets become scientific. Although technical analysis theory has been existed for a long time, its fragile assumptions result in doubts. The theory has been criticized comparing to the respect and reorganization for portfolio theory. But many scholars prove the utility of technical analysis theory, so in both academic and practical area, this theory is a sensitive subject with lots of disputes. Researches before have fully analyzed the two theories, however, no one has compare the two systematically, which provides direction for this paper. This paper analyses and establishes investment portfolio by classic portfolio theory and weekend-k line theory respectively, using the largest 13 stocks in 13 industries under the classification of Security Regulation Commission. Through the empirical exanimations, this paper will verify the sub-optimization of China's capital market to make up the research gap. The data from Jan. 2006-Dec. 2009 has been divided into eight groups with half a year as one group. This paper will use dada from previous phrase to establish investment portfolio according to the two different theories, while three market indexes stands for market portfolio, then make T-test by data from the next phrase. Markowitz and Todd verified efficient frontier’s sheet hyperbolic structure and this paper will also calculate the exact effective boundary by Optimizer, improving the internal related researches which could only compute several points on the frontier. In the empirical part, this paper has results like: in all the seven periods, there are no differences between the portfolios established according to the two different theories; in all the seven periods, the portfolios established by K-line theory are alike market portfolios; except the first and the sixth period, in which portfolios established by classic portfolio theory are superior than market portfolio, there are no differences in other phrases. Although Classic investment portfolio theory has a strong theoretical and practical significance, this paper proves that there is no absolute advantage compared with K-line theory and market portfolio. Also, according to efficient market theory, K-line theory is useless which this paper verify its significance. Thus, this paper will explain the empirical results from different aspects in the conclusion part.
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