中国股指均线心理关口效应的实证研究 摘 要近年来，随着我国的股票市场迅速开展，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良，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根底上，根据常用的均线设计了简单均线交易策略和参加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根底，我们构建了简单的利用均线的交易规那么，分别在无带宽和参加适当带宽的情况下进行模拟投资，结果发现在参加适当的带宽后，大局部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：均线 心理关口 乖离率 行为金融 Empirical Research on Psychological Barriers of MAs in Chinese stock indexAbstractIn recent years, with 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 cognition 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 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 have, 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 effect 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 of 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 ability 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 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 finished the empirical 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 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 support 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, that 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 downward。