中日关系紧张对证券市场的影响及投资策略研究

发布时间：2018-03-01 09:48

本文关键词： 双边关系紧张事件驱动投资策略累积异常收益率　出处：《华南理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着我国证券市场的快速发展，因重大新闻事件导致股票价格发生重大变化的例子屡见不鲜。通过对这些事件发出的信号进行分析、跟踪，以及对历史数据分析以探求内在一定的规律性，有利于投资者获得超额收益。研究事件驱动的证券市场波动和相关个股变化，对投资者构筑投资策略有着重要意义。历史证明，美国911事件、奥运会效应等重大事件引发的股价波动，，会带来异常收益。而在众多的事件当中，双边关系紧张是驱动证券市场波动的特殊事件之一。日本钓鱼岛事件引发了中日关系紧张、黄岩岛争议引发了中菲关系紧张、边界冲突引发了中印关系紧张等等，此类事件往往不同程度的作用于证券市场。随着对外投资、贸易等双边经济活动的日渐活跃，双边关系状况会对中国实体经济产生一定影响，进而影响证券市场。从中日双方力量相当的现实情况来看，中日双方冲突将呈现常态化趋势，冲突的解决并非是一朝一夕的事，会具有较长的拉锯期，这就使得研究双边关系紧张对证券市场的影响具备实践意义。本文旨在研究中日关系高度紧张事件对中国证券市场的宏观影响和局部影响，并根据上述事件研究的成果，得出具有比较优势的投资策略。首先用对比分析、归纳分析的方法研究事件对证券市场的宏观影响，然后用事件研究的方法、分类比较、回归分析、统计分析的方法来分析事件对特定类型个股的局部影响，最后用趋势分析、对比分析的方法来研究事件驱动的投资策略的制定要素。
[Abstract]:With the rapid development of China's securities market, there are many examples of major changes in stock prices caused by major news events. By analyzing and tracking the signals sent out by these events, The analysis of historical data is helpful for investors to obtain excess returns. It is of great significance for investors to study the volatility of the stock market driven by events and the changes of individual stocks. History has proved that fluctuations in stock prices caused by major events such as the 9 / 11 events in the United States, the Olympic Games effect, and so on, will bring abnormal returns. And among the many events, Bilateral tension is one of the special events driving the volatility of the securities market. The Diaoyu Islands incident in Japan has triggered tensions between China and Japan, the dispute over Huangyan Island has caused tension between China and the Philippines, and border conflicts have caused tensions between China and India, and so on. Such events often affect the securities market to varying degrees. As bilateral economic activities such as outward investment and trade become increasingly active, the state of bilateral relations will have a certain impact on China's real economy. And then affect the securities market. Judging from the fact that the strength of China and Japan is equal, the conflict between China and Japan will show a trend of normality, and the settlement of the conflict will not take place overnight, and it will have a longer period of sawing. This makes it of practical significance to study the impact of bilateral tension on the securities market. The purpose of this paper is to study the macro and partial influence of the high tension between China and Japan on China's securities market. According to the results of the above mentioned research, the investment strategy with comparative advantage is obtained. The methods of inductive analysis are used to study the macro impact of events on the stock market, and then the methods of event research, classification and comparison, regression analysis and statistical analysis are used to analyze the local effects of events on specific types of stocks. Finally, the trend analysis is used. The method of comparative analysis is used to study the elements of event-driven investment strategy.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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