| With the continuous expansion of Chinese security market,the market mechanism is gradually moving towards mature as well as more market regulations were established;the proportion of institutional investors increased.Moreover,under the implementation of the QFII system and Shanghai and Hong Kong Stock Exchange has promoted and encouraged the maturity of investors' investment idea and philosophy.The concept of value investment and management become well-known and interiorised.Therefore,much less speculators could survive when their speculative opportunities diminished.In terms of the value investment,an accurate asset pricing model is the starting point.Current asset pricing theory is a complete and complex theoretical system,in which the arbitrage pricing theory(APT theory)holds that there are many systematic factors that affect the composition of the return on securities.And its prominent empirical results are cited and advocated by investors.The commercial asset pricing model based on the arbitrage pricing theory become more and more famous abroad,among which the multi-factor model is the most popular,such as BIRR model,Salomon Brothers' RAM model and MSCI's BARRA model.Although domestic research on APT theory is relatively rich.The multi-factor model based on APT model is also adopted by some investment institutions.However,asset managers sometimes find difficulty in understanding the effectiveness of those factors because of their wide variety.And we cannot fit the theory and model into the Chinese security market with special Chinese characteristics.Therefore,it cannot achieve sufficient return when comparing with the performance results from foreign teams.In addition,the effect on domestic market of systematic risks of macro-factors from domestic and abroad financial market raised due to the more closely link between Chinese and foreign security market.Also,the individual securities have high correlation with the A-share market index,which makes the investment strategybased on macro-risk factors become extremely important for institutional investors.Based on the APT theory,this paper screens out the macro risk factors in the arbitrage pricing model of macro factors which are suitable for different market trends in Chinese stock market and discusses their applications in Chinese stock market.This paper chooses the GDE-EGARCH(1,1)-M empirical model which is suitable for the research of this paper through sorting out and comparing the theories.This paper takes Shanghai-Shenzhen 300 Index as the sample representing the A-share market index,and the data from Wind macroeconomic database for nearly 13 years as the foundation of macroeconomic risk factor database.The above data are mainly analyzed by the methods of Econometrics and Stata software.It is found that macroeconomic boom leading index,consumer price index,money supply,RMB/US dollar exchange rate and the yield to maturity of treasury bond have strong explanatory power to the overall yield of Shanghai-Shenzhen 300 Index.While in bull market,COMEX gold futures index and A-share account opening number have strong explanatory power to the index return.While in bear market,there are still Industrial added value,CRB metal spot index and COMEX gold futures have strong explanations for index returns.Using the macro-risk factor model of the bull-bear market in this paper,the return of stock selection has achieved a certain range of returns over the index as a whole. |
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