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1、密 级 一般分类号 F832.48硕士学位论文XIAN TECHNOLOGICAL UNIVERSITY题题 目目:涨停股票的投资策略研究区域经济学区域经济学康玉泉 讲 师-基于我国 A 股市场的研究涨停股票的投资策略研究基于我国 A 股市场的研究学学 科：科：区域经济学研究生签字：研究生签字：指导教师签字：指导教师签字：摘 要涨跌停板制度作为一种重要的风险控制制度，其主要作用是抑制股市的过度波动，稳定股票市场。我国从 1996 年 12 月 16 日开始实行涨跌停板制度。学术界对该制度的研究主要集中在其对股票市场的影响方面，而关于涨跌停现象的投资策略的研究却较少。对涨跌停股票投资策略的研究不
2、仅可以弥补学术界对涨跌停板研究的不足，还可在实际操作中为投资者提供参考。本文旨在在分析国内外学者相关研究的基础之上，对涨停股票的投资策略进行研究并验证投资策略的有效性。本文首先阐述了国内外研究现状、涨跌停板制度以及投资策略相关概念；其次，沿着证券投资理论的发展脉络，逐步阐释各种资本市场理论及其对投资策略的影响，以及探讨四大投资流派的投资策略并分析其在我国的适用性，为涨停股票投资策略的实施提供理论铺垫；接着通过对股票涨停的相关因素分析剥离并探讨股票涨停后股价表现的影响因素；本文的实证部分是在上文研究的基础上设计涨停股票的投资策略，采用模拟实验的方法检验涨停股票动量交易策略的适用性，并结合我国 A
3、 股市场的实际情况和金融学理论对研究结果做出解释；结论部分是对研究成果、研究局限性的陈述以及对未来研究的展望。本文的理论基础是资本市场理论以及证券投资策略各分析流派的理论学说。通过利用二级市场上的历史数据对一定投资策略下的交易过程进行循环模拟，将所得收益率与股指收益率比较来验证对应投资策略的有效性。研究结果表明：涨停股票的投资策略大致分为三类: 涨停股票动量交易投资策略、基于信息刺激的投资策略、基于技术分析的投资策略。在股票涨停当日买入并短期持有的投资策略是可以获利的，其收益性随着持有时间的延长而逐渐减弱，持有时间越短的策略收益率越大。从行为金融学、投资心理等角度来说，这种动量效应的产生是由于
4、认知偏差、过度自信等原因所致。关键词关键词: : 涨跌停板制度；涨停股票；投资策略；动量交易StudyStudy OnOn InvestmentInvestment StrategyStrategy OfOf LimitLimit StockStock-Based-Based OnOn ChinaChina A A StockStock MarketMarketDiscipline:Discipline: Regional EconomicsStudentStudent Signature:Signature: SupervisorSupervisor Signature:Signature:
5、AbstractAbstractAs an important risk control system, price limits plays its main role to inhibit the excessive volatility and stabilize the stock market. Chinas price limits policy starts on December 16, 1996, when the Academia begin to concentrated in its impact on the stock market ups and downs in
6、 such a system, but not much research are put in the investment strategy of limit stock.Research on the limit stock investment strategy can not only compensate for the lack of academic price limits study, but also provide a reference for investors in practice. This paper aims to study and verify the
7、 investment strategy and its effectiveness on the basis of the analysis of domestic and foreign scholars. This paper first describes the research status on limit stock system and the related concepts of the investment strategy; along the development of the theory of investment in securities context,
8、 and gradually explain a variety of capital market theory and its investment strategy, then explore the four major investment strategy in schools and analyze its applicability in China, which pave the way for the implementation of the limit stock investment strategy. followed by a correlation analys
9、is on the stock limit dissection and impact factors of the limit stock price performance, the empirical part of this paper is designed to study limit the stocks investment strategy, the simulation test is to limit the applicability of the stock momentum trading strategy, combined with the actual sit
10、uation of Chinas A stock market finance theory to explain the study results; conclusion part of this article states some of the research limitations, and the outlook for future research.The theory is based on the theories of capital market theory and analytical schools of the securities investment s
11、trategies. By loop simulate the proceeds of the rate and stock index yield to verify the validity of the corresponding investment strategy through the use of historical data on the secondary market transactions under certain investment strategies.The results show that: limit stocks investment strate
12、gies are broadly divided into three categories: daily limit stock Momentum investment strategies, information -based investment strategy, technical analysis based investment strategies. Buy in stock before its limit and perform a short-term holdings can be profitable; the profitability gradually wea
13、kened with the extension of the holding time, the shorter the holding time the greater the profitability. From the view of behavioral finance, investment psychology, this momentum effect is due to cognitive bias, overconfidence, and other reasons of the investors.KeyKey Words:Words: limit stock policy; limit stock; investment strategy; momentum tradeI目 录1 绪 论 .11.1 研究的背景及意义.11.2 国内外研究现状综述.11.2.1 国外研究现状 .11.2.2 国内研究现状 .21.3 涨跌停板制度概述.21.4 关于投资策略相关概念的界定.31.5 研究框架与创新.31.6 本章小结.52 证券投资策略理论 .62.1 证券投资理论.62.1.1 证券投资理论发展简史 .62.1.2 主要金融投资理论 .62.2 证券投资策略分析流派.62.2.1 基本分析流派 .
