Study Of Chinese Investment Clock–Based On Regression Analysis And Asset Pricing Theory

With the increasing demand of institutional investors for asset allocation,it is more and more important to study the rotation of different asset yields.However,there is an intuitive logic relationship between macroeconomic variables and return on assets of different categories.Therefore,research and analysis can be conducted from the relationship between economic variables and return on assets to obtain effective Suggestions on asset allocation of large categories.The existing academic research results mainly focus on the following aspects:first,traditional asset pricing theory CAPM analyzes the relationship between different fundamental variables and the return on assets through the statistical method of linear regression,providing ideas for the research of this paper;Secondly,based on the return and risk characteristics of assets in historical data,the asset allocation theory optimizes the allocation weights of different assets to obtain the return of the final portfolio.Then,according to the different trend of macroeconomic variables,the theory of business cycle divides the macroeconomic into four different stages of development.Finally,the investment clock of merrill lynch describes the performance of asset returns at different stages of the economic cycle,thus making the choice of asset allocation in different periods.This article refer to the investment clock classification framework for macroeconomic condition,the macro economic cycle according to the different performance of macroeconomic variables is divided into four different quadrants,through quantitative and qualitative analysis to find the economic cycle running when the different stages,corresponding to the categories of assets earnings dynamic characteristics,thus in order to adapt to the Chinese market investment practice to make exploratory research.From Wind has chosen the quarter GDP,CPI and PPI year-on-year,M2 year-on-year,the dollar index and other macroeconomic variables,combined with OLS and Logistic Logistic regression model and multiple linear regression model of qualitative research methods,and they have been representative of various categories of assets index:the csi 300 stock index,the index of the debt₁ years following comprehensive net,cities house price index,Wind index futures(Wind,Wind coking coal steel non-ferrous metal ore,Wind grease oil).Firstly,by means of qualitative analysis,the asset types studied and the range of macroeconomic variables used are selected Secondly,through the establishment of OLS multiple linear regression model and Logistic Logistic regression model,the quantitative relationship between the rate of change of different macroeconomic variables and the return on assets was analyzed.Then,based on the research framework of investment clock,starting from the different change trend of macroeconomic variables,and the macro economic operation phases are classified,and combining the economic variables and the number of relationships between return on assets and macro research,based on the Chinese historical and economic background of economic variables and generalizes the logical relationship between the asset returns,the clock to get the Chinese version of investment.Under the traditional merrill lynch clock analysis framework,when the macro economy experiences stagflation,recession,recovery and overheating respectively,the major asset allocation assets of the portfolio are cash,bonds,stocks and commodities.However,in the market situation and development process of China,the real estate market is an indispensable asset class worthy of attention,so this asset class needs to be included in the research framework.In the big historical process of high inflation level,holding money is an irrational economic behavior,so the importance of cash is considered as a secondary factor in the analysis.Clock and traditional version of the original merrill mainly from two dimensions of economic growth and inflation to divide the economic cycle,but ignores the dollar exchange rate in the process of global integration influence on markets in other countries,in this paper,the analysis framework of in addition to consider measures of economic growth,inflation index and macroeconomic variables will also be included in the dollar index of comprehensive analysis framework to build the Chinese version of investment clock analysis framework.Through the above process,the following conclusions can be drawn:1)in the recession stage of economic development,the inflation level measured by the year-on-year growth of CPI and PPI has a downward trend,at which time the interest rate falls,which is suitable for bond investment;2)in the recovery phase of economic development,GDP year-on-year growth faster,but in the past 10 years of economic development in the process of economic growth is often accompanied by high inflation,investment continues to heat,so the housing market and real estate liquidity is relatively weak,to a certain extent from the stock market capital takes up,therefore,in the large residential development cycle,stock returns to a certain extent affected.Therefore,it can be considered that the increase of GDP growth rate provides a necessary but not sufficient condition for stock market investment.3)in the overheating stage of economic development,when the GDP growth is accelerated and the inflation growth is also increased,China's housing market is the best investment market.In the history of economic development,real estate can always resist the erosion of monetary purchasing power caused by high inflation stably.4)in the stagflation stage of economic development,when the inflation level measured by the year-on-year growth rate of PPI continues to climb to a certain high level,the investment in the futures market is worth paying close attention to.5)meanwhile,with the process of global integration,the external market measured by the change rate of the dollar index is also affecting asset allocation.Because of China's settlement mechanism in international trade,the acceleration of the dollar index will lead to an increase in internal inflation,which is conducive to investment in the housing market.On the contrary,when the growth rate of the dollar index declines,the inflationary pressure slows down,which provides conditions for investment in the bond market to some extent.But at the same time,the article also has some limitations:1)in the regression analysis,based on historical data,future changes in economic environment will affect the coefficients before variables in the model.Although the direction of economic variables' influence on asset returns is not easy to change in a period of time,the degree of influence will change.2)there are limitations in the selection of variables.The macroeconomic variables selected by the model are mainly concentrated in the two different dimensions of economic growth and inflation.Further research can add more segmentation indicators,such as the linkage between policy variables and industrial chains.3)based on the consideration of data availability and integrity,the selected samples are the data of the past 10 years,with a small amount of sample data,and the stability of the conclusion has a certain impact.4)there is no corresponding macro-economic leading indicators,so the model has a certain time delay.5)in the regression analysis,the linear relationship of economic variables is used as the starting point,and in the further research,a more refined model framework is chosen to deconstruct the complex nonlinear logic among economic variables.