华夏配资网(股市周报)

时间:2019-09-21 20:49 文章来源:无道配资 点击次数::

原文标题:华夏配资网(股市周报)


一、 基础市场表现

回顾本周(2019.9.16-2019.9.20)的区间行情,指数方面,截止本周五收盘,上证指数收于3006.45点,区间跌幅0.82% ;深证成指收于9881.25点,区间跌幅0.39%;创业板指收于1705.05点,区间跌幅0.32%。此外,沪深300指数收于3935.65点,区间跌幅0.92%;上证50指数收于2963.43点,区间跌幅-1.20%。

成交额方面,本周两市成交总额为26920.33亿元,较上周增加1003.45亿元;其中沪市成交10862亿元,较上周增加372.38亿元;深市成交16058.33亿元,较上周增加631.06亿元。成交量方面,本周两市成交量2406.77亿股,较上周增加87.21亿股,上涨3.8%。其中,沪市成交957.22亿股,较上周增加47.94亿股;深市成交1449.54亿股,较上周增加39.26亿股。

二、 不同行业对比

区间内上涨行业共4个,分别为电子(3.34%),食品饮料(2.78%),医药生物(1%),休闲服务(0.99%)。

 区间内下跌行业共24个,跌幅最大的十个行业分别为非银金融(-3.75%),钢铁(-2.64%),国防军工(-2.44%),建筑装饰(-2.06%),化工(-1.9%),家用电器(-1.76%),采掘(-1.85%),通信(-1.72%),电气设备(-1.66%),传媒(-1.55%)。

数据来源:Choice金融终端

点击添加图片描述(最多60个字)

 

 

概念板块方面,区间涨幅大于跌幅水平,排名详情如下表所示。

         

   表1 区间内涨跌幅排名前十的概念板块

 

板块名称

5日涨幅%

板块名称

 5日跌幅%

昨日连板

11.2200

电子烟

-6.0300

增强现实

7.0700

GDR概念

-5.4800

3D玻璃

6.9900

券商概念

-4.5500

Facebook

6.8800

彩票概念

-3.5900

苹果概念

5.6100

氢能源

-3.4800

富士康

5.0100

参股期货

-3.3700

LED

4.8000

数字孪生

-3.3600

PCB

4.6900

地热能

-3.1100

蓝宝石

4.4000

草甘膦

-2.8800

华为概念

4.0200

互联金融

-2.6900

数据来源:Choice金融终端

 

三、 股市市场热点

1. 央行降准,释放约8000亿元

央行于9月16日全面下调金融机构存款准备金率0.5个百分点(不含财务公司、金融租赁公司和汽车金融公司)。在此之外,为促进加大对小微、民营企业的支持力度,再额外对仅在省级行政区域内经营的城市商业银行定向下调存款准备金率1个百分点,于10月15日和11月15日分两次实施到位,每次下调0.5个百分点。

     2. LRP第二轮报价公布

据全国银行间同业拆借中心9时30分公布的数据,20日LRP为1年期LPR为4.2%,较8月20日首次公布的报价调降5个基点;5年期以上LRP为4.85%,与上次持平。

     3. 两大指数扩容生效

9月20日收盘后,两大国际知名指数(富时罗素、标普新兴市场全球基准指数)扩容A股同时生效。截至9月20日收盘,北向资金净流入148.62亿元,其中沪股通净流入71.37亿元,深股通流入77.25亿元。

 

四、学术动态

近期,与股票市场相关文献多于国外发表,国内文章较少。从研究方向看,一类是关于风险与回报,Atilgan Y(2019)等在26个发达市场的全球背景下,重新审视了各种下行风险措施与未来股票回报率之间的关系,发现系统下行风险与股票收益率横截面之间不存在显著的正相关关系,实际上这种关系主要是负向的;另一类是关于股市的家庭投资行为,Christensen, Hans B.(2019)等利用国民账户的总体数据,研究加强和协调整个欧盟的证券监管是否会增加家庭股权,发现在信任度低的国家和文化偏见最明显的国家之间,证券监管的效果更强。最后一类是与投资组合相关,Melas, Dimitris(2019)等回顾了全球股票市场的要素绩效,并应用一个新模板来评估他们在多重检验下的潜在选择偏差,在市场指数和活跃的股票组合样本上进行了测试,对不同类型的投资者可能具有重要意义。

 

1.股市风险相关 

《 Global downside risk and equity returns 》

作者:Atilgan Y ; Bali TG ; Demirtas KO ; Gunaydin AD

刊物: J ournal of  I nernational  M oney  A nd  F inance

时间 : 2019 年 9 月

Abstract: This paper reexamines the relation between various downside risk measures and future equity returns in a global context that spans 26 developed markets. We find that there is no significantly positive relation between systematic downside risk and the cross-section of equity returns, and in fact, this relation is mostly negative. Moreover, stock-specific risk measures such as lower partial moment or extreme left tail risk measures such as value-at-risk and expected shortfall have a negative predictive relation with future equity returns. These negative relations are weaker but still observable for value-weighted portfolios. Focusing on additional test assets indicates a significantly negative relation between downside risk and future returns at the portfolio level whereas this relation is flat at the equity index level. (C) 2019 Elsevier Ltd. All rights reserved. 

 

 

2.股市投资意愿

《Securities regulation, household equity ownership, and trust in the stock market》

 

作者: Christensen, Hans B. ; Maffett, Mark ; Vollon, Lauren

刊物:Review of Accounting Studies

时间:2019年9月

Abstract: Using aggregate data from national accounts, we study whether strengthening and harmonizing securities regulation across the European Union increases household equity ownership. We find a significant increase in the proportion of liquid assets invested in equity, both when a household's own country adopts the regulation and when other countries adopt the regulation. To directly explore the mechanism through which households' willingness to directly invest in the equity market increases, we show that the effect of securities regulation is stronger in countries where trust is low and between countries where cultural biases are most pronounced.

3. 投资组合相关

《Integrating Factors in Market Indexes and Active Portfolios》

作者: Melas, Dimitris; Nagy, Zoltan ; Kumar, Navneet; Zangari, Peter

刊物:Journal of Portfolio Management

时间:2019年9月

Abstract: In this article, the authors review factor performance in global equity markets using coherent data and methodology and apply a new template to evaluate their backtests for potential selection bias under multiple testing. They then propose a systematic process for integrating factor information into different investment strategies. The authors show that this process is consistent with the Black-Litterman framework and test it on a sample of market indexes and active equity portfolios. Integrating factors in indexes improved risk-adjusted performance while retaining high liquidity and capacity. Adding factors to active strategies enhanced information ratios while maintaining the portfolio characteristics and stock selection alpha of the original strategies. The authors' analysis may have important implications for different types of investors. Asset owners may be able to tilt reference indexes toward rewarded factors without sacrificing market coverage and diversification. Index managers can track factor-tilted indexes because they remain investable and replicable. Finally, active managers may be able to incorporate factor information into their strategies to harvest factor premiums while preserving their core investment process and the added value from fundamental security selection.

 

 

参考文献:

[1] Atilgan Y ; Bali TG ; Demirtas KO ; Gunaydin AD, Global downside risk and equity returns, Journal of Inernational Money And Finance[J], 2019(98), DOI: 10.1016/j.jimonfin.2019.102065.

[2] Christensen, Hans B. ; Maffett, Mark ; Vollon, Lauren, Securities regulation, household equity ownership, and trust in the stock market, Review of Accounting Studies[J],2019( 24):824-859, DOI: 10.1007/s11142-019-09499-8.

[3]Melas, Dimitris; Nagy, Zoltan ; Kumar, Navneet; Zangari, Peter, Integrating Factors in Market Indexes and Active Portfolios, Journal of Portfolio Management[J],2019(45):16-29,DOI: 10.3905/jpm.2019.1.096.

 

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