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随着股指期货的推出,我国证券市场只能单边做多的局面已经成为历史,股指期货为阿尔法策略投资提供了必要的做空手段。纵观国内外的投资经验,在资本市场有效性相对较弱时,阿尔法投资策略可以获得持久稳定的阿尔法收益,而我国的中小板市场正是一个新兴的、效率相对较低的市场,本文旨在研究基于量化选股的阿尔法策略在中国中小板市场是否具有可行性。
With the introduction of stock index futures, China’s securities market can only do more than unilateral situation has become history, stock index futures for Alfa strategy investment provides the necessary short means. Throughout the investment experience at home and abroad, when the effectiveness of the capital market is relatively weak, Alpha’s investment strategy can obtain long-term and stable Alpha benefits. However, the small and medium-sized board market in our country is an emerging market with relatively low efficiency. In the study based on quantitative stock selection Alpha strategy in China’s small and medium-sized board market is feasible.