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Research On Asset Allocation Of China’s Market In The Economic Cycle

Posted on:2015-12-31Degree:MasterType:Thesis
Country:ChinaCandidate:F GuFull Text:PDF
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Firstly, we lead to the method of Merrill Clock Division of the economic cycle through reviewing the economic cycle theory. This method is direct and simple in practice, with which only two economic indicators, the CPI Price Index and the Industrial Added Value, are needed to determine the direction of the economic cycle roughly.The120monthly data used in this essay ranging from2002to2012,and was distributed into4recessions,6Recoveries,6Overheating periods and5Stagflations,based on the seasonal adjustment procedure and division principle.Based on the division of the economic cycle, we compared the four types of assetsyields and yield spreads in different economic cycles. And found out that there was a significantrelationship between the four types of assets yields, yield spreads and the economic cycle. These four assets are:stocks, bonds, cash, commodities.Unfortunately, the test results in this paper do not fully comply with investment clock theory. At the end of the article, I tried to find out the reason for the result which is not perfect.
Keywords/Search Tags:Merrill Lynch Investment, ClockEmpirical, Economic cycle, Asset allocation
PDF Full Text Request
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