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论文编号：	6408
作者编号：	2120122565
上传时间：	2014/6/9 22:51:37
中文题目：	我国股民投资蓝筹股收益研究
英文题目：	Study on China ordinary investors’ return gained by investing in blue chip stocks
指导老师：	齐岳
中文关键字：	中国蓝筹股；投资收益；技术分析；大盘指数；对比研究
英文关键字：	China Blue Chip Stocks; Investment Income; Technical Analysis; Stock Index; Comparative Study
中文摘要：	2012年2月中下旬，中国证监会前主席郭树清公开力挺我国蓝筹股，证监会和上交所也大力开展宣传工作，号召广大投资者投资蓝筹股，进行理性投资、长期投资，优化我国资本市场结构。但对于我国普通股民而言，投资蓝筹股能否获取高收益是最关心的问题，而这也关系到官方的号召能否真正得到响应和执行。 本文研究我国股民投资蓝筹股所能获得的收益。考虑到我国股市短期投资理念盛行、换手率高及尚未达到有效市场等不完备的现实情况，选取技术分析这一我国股民常用的选股方法以及股票指数表现作为参考，将我国股民投资蓝筹股能够获得的收益率与技术分析选股、大盘指数收益分别进行对比，以得出研究结论。 按照中国证监会划分的13个行业门类，从我国股市代表性市场指数中，每个行业筛选出一只符合要求的成分股构成13只蓝筹股研究样本。采用移动平均线指标作为技术分析选股依据，并将其理论内涵及买卖规则运用EXCEL VBA编为计算机程序，筛选相应股票。市场指数方面，选取沪深300指数代表股市大盘。 采用2009年1月1日至2013年8月31日中国上市公司周回报率等历史数据进行实证分析。依据一定的标准，取四个月为一时间段，将研究区间划分为14个研究阶段，使得长期持有特征的蓝筹股投资与短线投资操作的技术分析法能够进行全面有效的收益对比。实证研究中，每个阶段均通过运行VBA程序筛选出4只符合买入规则的不同股票，满足短期投资要求。而大盘指数始终以沪深300指数不变，13只蓝筹股样本在整个研究期间也均保持不变，以进行长期投资。按照严格的研究设计，每个阶段分别对蓝筹股样本构造投资组合，精确计算蓝筹股最优投资权重，用下一阶段数据代入计算下一阶段投资收益，并与同阶段技术分析所选股票和沪深300指数的收益分别进行T检验，以对比收益高低，前后相连，动态推进，直至完成最后一个研究阶段。 研究结果表明，每个研究阶段所有的T检验结果均不显著，意味着从平均水平来看，投资蓝筹股获得的收益与技术分析选股所得收益、大盘指数收益并无显著差异。也就是说，历史数据表明，在中国股市中股民仅靠投资蓝筹股还不能够获得高于其他常用投资策略的收益，也不能极大地跑赢大盘，一定程度上说明我国股民通过投资蓝筹股来获取高收益的时代尚未到来。
英文摘要：	In late February, 2012, the former chairman of China Securities Regulatory Commission (CSRC) Guo Shuqing publicly supported for China blue chip stocks. The CSRC and the Shanghai stock exchange also vigorously carried out propaganda work, and called on the majority of investors to invest in blue chip stocks for rational investment and long-term investment, which will optimize the structure of the capital market of our country. But for ordinary investors, whether investment on blue chip stocks can get high return is the most concerned problem, and which is also related to the success or failure of the official’s call. This paper focuses on the return of China ordinary investors gained from the investment in blue chip stocks. Considering some realistic incompleteness in China stock market, such as the prevailing of short-term investment idea, high turnover ratio, and it has not yet reached efficient market, we take technical analysis that is used commonly by China investors and the stock index as the reference, comparatively study return on investment in blue chip stocks with the return on the technical analysis and the stock index, to get the conclusions. According to those 13 industry categories divided by CSRC, we select one constituent stock from representative stock index in our country stock market according to each industry category to constitute the study sample of blue chip stocks, which consists of 13 stocks. We select the moving average indicate as the basis of technical analysis, and use EXCEL VBA to convert its theoretical connotation and trading rules to a computer program, then we select those corresponding stocks. For the market index, we select the Shanghai and Shenzhen 300 index to represent the market performance. We use historical weekly return rate data of China listing Corporation from January 1, 2009 to August 31, 2013 to take empirical analysis. According to certain standard, we take four months as a stage, and divide the data into 14 research stages, so we can compare the return on blue chip investment in long-term and return on technical analysis of short-term operation completely and effectively. In the process of empirical research, in each research, we select 4 different stocks that according the buy rules by running the VBA program, to meet the short-term investment requirements. But the Shanghai and Shenzhen 300 index remain unchanged throughout the whole study period, and 13 blue chip stocks are also unchanged throughout the whole study period, which can make long-term investment. According to a rigorous study design, we construct portfolio of 13 blue chip stocks in each stage respectively, and solve the efficient frontier exactly to determine the optimal investment weight of blue chip stocks, then we calculate the investment return in the next stage by substituting into data of the next stage, and make the T test respectively with return on stocks selected by technical analysis and return on the Shanghai and Shenzhen 300 index in each same stage, to compare the return of different investment strategies. Every stage link to each before and after, and move forward dynamically, until complete study of the last stage. The calculation shows that all results of T test in each research stage are not significant, which means that on the average level, there is no significant difference between the return gained from investment in blue chip stocks with return gained from stocks selected by technical analysis or return on the stock index. That is to say, the historical data shows that in Chinese stock market, only rely on investment in blue chip stocks, investors cannot gain higher return than other frequently-used investment strategies, also cannot greatly exceed the market return, which shows to a certain extent that the period that ordinary investors obtain high return by investing in blue chip stocks has not come yet.
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