新质生产力股票指数的设计与应用  

Design and Application of the New Quality Productive Forces Stock Index

作　　者：肖玉强 程实 张弘顼 周烨 徐婕 XIAO Yuqiang;CHENG Shi;ZHANG Hongxu;ZHOU Ye;XU Jie

机构地区：[1]工银国际证券有限公司

出　　处：《金融监管研究》2024年第8期17-36,共20页Financial Regulation Research

摘　　要：本文通过综合考量研发投入、生产效率、环境影响及社会责任等多个维度的指标,选取了在A股、港股上市的50家具备显著新质生产力特征的上市公司,并据此构建了一个活跃交易、规模可观且适合投资的新质生产力股票指数。该指数旨在通过评估企业的新质生产力水平来衡量这些企业长期盈利能力与股价表现。在权重分配方面,本研究结合了主成分分析法、熵值法和市值法,不仅考量了公司的现有市值,更侧重于由新质生产力带来的长期增长潜力的积累。对历史数据进行回溯测试的结果显示,基于新质生产力特征构建的股票指数总体表现优于传统市值加权指数,展现出更高的收益率和更低的波动性。这一发现凸显了新质生产力对于企业高质量发展的关键作用。尤其是在快速变化的市场环境中,企业若能以提升自身的新质生产力为基石,通过技术创新和资源优化配置,将有望增强市场竞争力并获得更高的财务回报。因此,投资者可以将新质生产力作为选股的重要参考,通过投资拥有高水平新质生产力的企业,获得更佳的投资回报。This paper selects 50 listed companies in A-share or Hong Kong stock market that exhibit significant characteristics of new quality productive forces by comprehensively considering indicators across multiple dimensions,including R&D investment,production efficiency,environmental impact,and social responsibility.Based on this selection,a new quality productive forces stock index is constructed,featuring active trading,substantial scale,and investment suitability.The index aims to measure the long-term profitability and stock performance of these companies by assessing their level of new quality productive forces.In terms of weight allocation,this paper employs a combination of principal component analysis,entropy method,and market capitalization method.This approach not only accounts for the companies'current market value but also focuses on the accumulation of long-term growth potential driven by new quality productive forces.Back-testing historical data reveals that the stock index constructed based on new quality productive forces outperforms traditional market capitalization-weighted indices,demonstrating higher returns and lower volatility.This finding underscores the critical role of new quality productive forces in promoting high-quality development for companies.Especially in rapidly changing market environments,companies that enhance their new quality productive forces through technological innovation and optimized resource allocation are expected to strengthen their market competitiveness and achieve higher financial returns.Thus,investors may consider new quality productive forces as an important factor in stock selection,with the potential to realize better investment returns by investing in companies with high levels ofnewqualityproductiveforces.

关 键 词：新质生产力 指数设计 股票市场 投资组合 

分 类 号：F832.5[经济管理—金融学] F830.91