【作者】 万永瑞；

【导师】 陈建明；

【作者基本信息】 河海大学 ， 产业经济学， 2006， 硕士

【摘要】 价格发现是期货市场的基本功能之一,成熟的期货市场可以发挥对重要商品定价的作用。商品期货的价格变动对相关上市公司的业绩和公司股票价格产生直接或间接的影响。通过探寻期货市场与股票市场的内在联系,可以发现期货行情影响上市公司的传导机制。在量化分析期货市场对股票市场影响的基础上,依据投资学的一般理论与方法建立投资决策模型。 从基本面和市场面两个角度,深入分析期货市场对上市公司财务状况及其股票价格的影响,全面揭示期市对股市产生的内在影响,提出新的投资策略。可能创新之处是发现不同的金融市场间存在的固有的联系,并利用这种联系,将期货这一不可忽略的因素融入传统的证券投资理论和分析方法。 期货行情对行业的影响体现于整个产业链的上下游,并引发股市中的板块效应;对公司的主要影响体现在对以期货商品为主要生产原料和产品的公司的业绩上;对公司股票的市场表现的影响不仅使股价受期货价格影响暴涨暴跌,同时也使股票在熊市中部分抵抗系统性风险。 使用协整分析、回归分析、线形规划等方法进行实证分析可知:铜价与铜业公司指数的相关性显著;铜业板块内上市公司存在联动关系,对铜开采与冶炼行业公司业绩影响最大的就是资源产品的价格,铜价变化导致国内A股铜业上市公司的板块效应较为显著。铜开采、冶炼行业的上市公司净利润与铜价显著正相关,利润变化的幅度取决于资源自给率,各季度的铜价变化在当期影响公司业绩,不存在滞后,其原因是电解铜产品定价机制的高度市场化。股票市场会对公司业绩的预期变动做出提前反应,这是基于投资者预期的股价提前反应,意外收益率是实际收益率与理论收益率的差值,其与净利润增幅的相关性显著,财务报告公布前8周的股价意外收益率受业绩变化的影响最为显著。 采用2004年及以前数据,根据投资学的一般原理构造跨市场投资组合、向量自回归模型、跨市场套利模型,使用2005年数据检验投资组合的运作效果,综合考虑收益和风险,评估投资组合运作的绩效。跨市场投资组合最优化的目标是使酬报与波动性比率θ最大化,将期货纳入投资组合可以使相关公司的股票在很大程度上抵消股市的系统性风险;股票价格序列具有显著的自相关性,但该自相关性仅存在于当期价格与滞后一期的价格间,基于板块效应、期货价格对股价影响的分析,以三支铜业公司股票为内生变量、以股指和铜价为外生变量,建立一阶滞后的向量自回归模型;引入与已有三支股票相关性较低的下游公司股票鑫科材料,以降低套利组合的整体风险,A组合与B组合使用同一个资产池。在A组合与B组合β值相同的条件下,求解A组合与B组合的差值(绝对值)最大化的各单项资产的权重。更多还原

【Abstract】 Futures markets play a role of pricing important commodities. The wave of commodities futures’ s price bring direct or indirect effect on the achievement of listed companies related and stock price of them. The cause of this kind of effect is firstly that the production and management of those companies have oeen correlated with the price of futures commodities. Secondly, investors can call the achievement change of industries and enterprises related on the basis of price trend of commodities futures market. They may regard that kind of calling as the cause of investing stocks related. The wave of commodities futures’ s price can lead companies’ achievement changes. The changes or calling then affected companies’ stock market. Therefore, markets of commodities futures maybe have an effect on listed companies related and stock price of them. It’ s good to analysis of this kind of effect for making decision on stock investment on the basis of root reasons of companies.The dissertation chooses the high-marketed copper futures as the research object and look for the internal relation between futures markets and stock markets by analyzing industries and listed companies related. It makes quantitative analysis on the effect which futures markets have on the listed companies and stocks related. Finally, the dissertation put forward models and methods for stock investment one the basis of futures analysis and point out the limitation and lack of the strategy under the instruction of universal theories and methods of investment.The dissertation is divided into three parts. The first part (chapter 1 and chapter 2) introduces the origin of researching cross-market investment strategy, universal theories and method of investment. The second part (chapter 3, chapter 4, chapter 5 and chapter 6) reviews some testing methods of efficiency test of Efficient Market Hypothesis, and introduces how to estimate the risk of futures market. Then it finds out the effect which the futures market have on the stock market in terms of industry and enterprises, and then choose fundamental way and market way to analyze quantitatively transmission path of which the change of futures’ price carry effect on listed companies and their stocks. And then it creates three investment model and carry out the demonstration checkout and performance evaluation. The third part (chapter 7) bring forward the investment advise and pointed out the application field and shortage of the strategy.更多还原