我国经济周期对投资策略的影响研究

Research on Effects of Business Cycle of the Investment Strategy in China

通过构建MS(3)-ARCH(3)模型,对2003年1月—2014年3月间的上证指数以及五大上市公司的对数收益率进行分析,比较投资者对整个资本市场以及在农业、工业、房地产业、金融服务业和新兴产业的投资状况,系统研究我国经济周期对投资策略的影响。实证研究结果表明:上证指数和所选各行业的蓝筹股对数收益率在低迷期、稳定期和不稳定期的特征表现大致相同,相对于新兴产业来说,状态转换不频繁,受经济周期影响不大,但不同行业之间略有差异;所选新兴产业股票在低迷期及不稳定期对数收益率为负,状态转换非常频繁,说明新兴产业领域的投资情绪不稳定,容易受宏观经济环境的影响。

By constructing the M S(3)-ARCH(3) model,this paper analyzes the logarithmic return of Shanghai Composite Index and five listed companies from January 2003 to M arch 2014,compares the situation of investment in the w hole capital market and various fields involving agriculture,industry,real estate,financial services and emerging industry,and further studies the effects of business cycle on the investment strategy in China systematically.The results of empirical study show that the logarithmic return of Shanghai Composite Index and blue chips in various fields perform similarly during the dow nturn,stable and unstable periods; the state transitions are infrequent and that they are not significantly influenced by the business cycle in comparison w ith the emerging industry; how ever,there is a slight difference among the fields; the logarithmic return of CSG A share is negative in the dow nturn and unstable periods,and the state transition is frequent,indicating the investment in emerging industries is emotionally unstable and easily affected by the macroeconomic environment.Finally,corresponding investment strategies and policy recommendations are put forw ard.