政策型主题投资策略及其影响因素的实证研究——基于资金流影响的分析

An Empirical Research on Policy Thematic Investment Strategy and Its Influencing Factors:Based on the Influence of Capital Flow

以22个政策型主题为样本,运用事件研究法和回归分析法,实证检验了政策型主题投资策略的的超额收益率及其影响因素.结果显示,政策型主题存在显著正向的累计超额收益率.通过分析计超额收益影响因素发现,政策型主题投资策略在股市上涨周期特别是震荡上涨的情况下作用明显,在股票筛选上,应重点考虑因正式决议形成的政策型主题下的且在事件前一日股票上涨幅度较大的低价股.考虑资金流的影响后,发现政策型主题中在主题形成前8周至前7周左右的资金净主动买入额较高的,而在前4周至前3周净主动买入量占比较低的股票会在政策型主题形成后拥有更高更稳定的超额收益.

We use event study method and regression analysis method, test the excess return level of the 22 policy thematic investment strategy and its influencing factors and the impact of capital flow. The results show that there is a significant cumulative abnormal return rate. Based on the cumulative total excess returns： an empirical analysis found that the policy thematic investment strategy have a significant effect in the stock market rise cycle. In stock selection, we should focus on Penny stock which in the policy theme formed by formal resolution and the stock price rises greatly before the event day. In consideration of the capital flow, we found that the policy theme will have higher and more stable excess returns,which in the 8 weeks to 7 weeks before the event day have a higher amount of net capital and in the 4 weeks to 3 weeks before the event day have a lower net buying volume.