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Positive Industry Allocation Model Of China A-share Based On Investment Clock

Posted on:2014-12-03Degree:MasterType:Thesis
Country:ChinaCandidate:Y W YinFull Text:PDF
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Since the1990s, the international financial market has undergone a series of major events in a short span of20years:the Mexican financial crisis in1994, the Asian financial crisis in1998, the Nasdaq network economic bubble burst in2000,and the global financial crises triggered by U.S. subprime crisis in2008.Influenced by economic and financial crisis, many countries have suffered deep economic shocks, our country were also not immune to the impact.Especially in2008, the U.S. subprime crisis had battered China’s economy, made our economic growth sharply declined. Meanwhile, China’s stock market had also experienced a grievous shock, down from the highest6124points to1815points, shrinking as much as70%. At present, with the implementation of rescue policies, our country’s economy has gradually improved and tend to be warmer, experiencing a steady recovery from the severe recession.Faced with the rapid changes of economic situation, how to grasp the stock market’s movements between economic cycle alternation, how to grasp various industrial regulars in stock market fluctuation, and how to make a good industry allocation has became a very important issue. This paper attempts to solve this problem based on "The Investment Clock" Theory of Merrill Lynch, and building our own A-share market’s "Investment Clock" mode, in order to provide effective investment guides to Chinses investors.In this paper, first of all, after describes the investment clock model and industry allocation theory, China’s economic cycle has been divided, and test the relationship between China’s economic growth and stock market.This study find that,since completion of the equity segregation reform in June2005,there is a significant and positive correlation between them which provides a logical basis to following analysis.Then, take empirical researchs in the stock market level and the real economy level.In stock market level,find that different industies get different yield performance in different economy stages,which prove there is a wheeled industry phenomenon.In the real economy level, further clarify industry characteristics and transfer mechanism by quantified various sectors’ sensitivity of GDP and interest rate, then accordingly constructed A-share market s’ investment clock model. Next, build positive industry allocation model of China A-share, and introduce short-mechanism in it according to the current market background that margin trading business has started.Through empirical testing,find that the positive industry allocation model can effectively help investors to choose right stock industries and gain higher excess returns.Finally, based on the problems existing in China’s stock market, make some relative investment advices to effectively guide their investment behavior.Innovation of this paper are the following three points:Firstly, the using of "investment clock" model perspective to make industry allocation in tie with the economic cycle.For the study of industry allocation, domestic scholars mainly focus on industry contribution rate and industry momentum strategy, fewer people link economic factors to this issue.However, among many impact factors of return on asset, the most important is still the fundamentals of economy.Therefore, doing research in the way of linking economic cycle to industry allocation is quitely necessary.Secondly, the focusing on quantitative study on industry allocation.Among existing domestic research, the theoretical analysis is more than quantitative analysis. Therefore, quantitative study should be increased.This paper seriously measure different sectors’ yield, sensitivity of GDP and interest rate, then divide GDP sensitive sectors and interest rate sensitive sectors. This could have an promotion to reveal deep industry wheeled regulation and transfer mechanisms.Thirdly, the introduction of short-mechanism and the build of a positive industry allocation model. On March31,2010, China’s official launched margin trading business. According to this market background, this paper introduce short-mechanism into the investment model, in order to make better adaption to China’s current securities market, and provide more effective model to guide investment behavior.
Keywords/Search Tags:The Investment Clock, Economic Cycle, Industry Allocation, Dynamic Asset Allocation
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