基于谱分析的股票市场行业周期波动与投资组合策略  

A Study on Cycle Fluctuation and Portfolio Strategy of Industry Indices in Stock Market: Based on Spectral Analysis

作　　者：孙翎[1] 王胜[2] 迟嘉昱[3] 

机构地区：[1]中山大学岭南学院,广东广州510275 [2]华泰证券公司,广东深圳518048 [3]中山大学管理学院,广东广州510275

出　　处：《金融经济学研究》2016年第1期117-128,共12页Financial Economics Research

基　　金：国家自然科学基金重点项目(71231008);广东省自然科学基金团队项目(2014A030312003);广东省教育厅社科基金一般项目(2012WYXM_0002);中央高校基本科研业务费专项

摘　　要：以沪深300成分股数据为样本,利用谱分析将股票市场的行业指数序列分解成互不相关的周期分量,并通过对比各分量的周期变化研究了行业指数的波动特征。单谱分析表明每一个行业指数的频谱图上都包含有一个或者多个重要的峰值,每一个峰值对应特定的周期长度,行业指数的波动由少数几个重要的波动周期分量叠加而成。互谱分析显示各行业指数在若干频率区间上具有较高的相干谱值,多数行业指数之间包含若干共有周期分量。基于行业指数在频域分析中表现出的优良性质,进一步研究了行业轮动的投资组合策略,该组合在不考虑交易费用的影响下可以获得较为稳定的超额收益。By making spectral analysis,this paper discomposes the industry index of the stock market into non- related periodic components,and the fluctuation of the industry index is investigated by comparing the periodic changes of each component. The single spectrum analysis shows that the spectrum of each industry index contains one or more important peaks,each peak corresponding to a specific cycle length,and the industry index fluctuations is composed of several important periodic components. Cross spectrum analysis shows that the industry index has a high coherence spectrum in some frequency range,and various industry indices contain several shared periodic components with high correlation. Based on the excellent properties of the industry index in the frequency domain analysis,a portfolio strategy based on industry sector rotation is constructed. An empirical study on the Shanghai and Shenzhen 300 stocks data finds that this portfolio can obtain stable excess returns when the transaction costs are not considered.

关 键 词：行业指数 周期波动 谱分析 投资组合 

分 类 号：F832.5[经济管理—金融学]