摘要
摘 要
1996年，涨跌停板一词在国内证券市场得以出现，同年我国证券市场逐渐
采取该制度，通过涨跌停板制度，设置了股价的涨跌幅区间，用以确保证券市场
的稳定运行。对于我国来说，稳定的证券市场不仅仅是促进行业的发展，更是会
给国家带来积极影响。目前涨跌停板的探讨内容还有待完善，学者加大力度研究
涨停股票投资策略能够丰富相关知识，对投资者参与实践活动具有建设性意义。
在进行本文的研究之前，笔者搜集了大量的与涨停股票相关的文献资料，并对其
进行了整理和分析，不仅探究了涨停股票的投资策略，而且还对投资策略的有效
性展开了验证。
在证券市场机制得到不断优化的背景下，越来越多的投资者认为涨停板股票
同样存在投资价值。探讨股票涨停后的短期投资策略，就是针对某日收盘当天所
有已经涨停的股票为标的，探索未来短期内的投资技巧，即采用何种方法去追买
涨停板股票才能获得超额收益。当前，国内外诸多学者基于各类涨跌幅限制政策
的背景下探讨了其对股市的影响程度，但通过选取涨停板股票为研究对象，探究
其涨停后股票短期投资策略和方法的为数不多。因此，本文首先分析了投资的相
关理论，然后联系实际通过大量的历史数据分析来对涨停板股票的投资价值及投
资策略进行研究，能够对现存的理论研究成果进行一定的补充。
多因子选股模型在市场投资活动中具有较为广泛的运用，同时由于该模型在
时效性方面具有绝对优势，因此通过研究分析来选择符合客观形势的多因子选股
模型具有一定的现实意义。股市处于不断的变化之中，不断探讨哪些指标在选股
中更为有效，能够为市场投资活动的开展提供一定的参考和借鉴。确保研究数据
的精确性以及研究方法的科学性，能够有效保证研究结论的客观性和准确性，相
对于整个股票投资来说都是具有价值意义的研究内容。多因子选股模型模型涉及
许多和股票收益率相关的影响因素，然后需要从众多因素中选出关键因素。本文
结合多因子选股策略模型，研究数据选用我国 A股市场 2018年 10月 1日到 2020
年 10月 1日之间的每日涨停板股票数据进行分析验证，经过选择，候选因子的
数量总共为 17个，接着从这 17个所选因子当中利用因子收益率、信息比率、最
大回撤率和夏普比率等指标进行筛选，最后得到了 5个影响力显著的有效因子，
其中包括流通市值、涨停封单额占比、意愿指标，开盘涨跌幅、换手率。之后通
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摘要
过因子权重赋值选出股票进行组合投资，并结合股票历史数据回溯，进一步验证
了投资策略中有效因子对股票投资收益影响的显著性。
本研究以涨停股票为研究对象，对其投资策略进行深入剖析，不仅能够对理
论研究带来一定的补充，同时也能为投资者提供必要的理论指导。本文对证券投
资理论进行了阐述，结合目前涨跌停板制度，着重探讨影响股票涨停的原因及涨
停后股票的投资策略等。本研究的创新点在于使用二级市场上当前已有的数据来
对交易过程进行追溯，将计算得出的收益率与股指基准收益率进行对比，以此为
基础来对投资策略的有效性进行衡量。通过对短期投资策略模型进行优化，并进
行一系列回测分析，最后得到的结果是可以运用该模型来为投资者短期的投资活
动提供可靠建议。
关键词：涨停股票；投资策略；多因子模型
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Abstract
Abstract
China's securities began to implement the price limit system in 1996, through the
trading limit system, set up the range of the rise and fall of stock prices, to ensure the
stable operation of the securities market. A stable development of the securities
market for the development of the country, has a positive role in promoting. At
present, the discussion content of the price limit needs to be improved. Scholars
strengthen the research on the price limit stock investment strategy, which can enrich
relevant knowledge and have constructive significance for investors to participate in
practical activities. Before the research of this paper, the author collected a large
number of literature related to trading stocks, sorted and analyzed them, not only
explored the investment strategy of trading stocks, but also verified the effectiveness
of the investment strategy.
Under the background of the continuous optimization of the securities market
mechanism, more and more investors believe that the stocks on the daily limit also
have investment value. Trading board stock investment strategy, as the name suggests,
is a specific investment strategy for all stocks that have been trading, that is, what
method to buy trading board stocks in order to obtain excess returns. At present, many
experts from home and abroad have done a lot of research on the influencing factors
and effects of the price limit system. However, there are few studies on the investment
value and investment strategy of listed company stocks. Therefore, this paper uses the
method of combining theory and empirical research to fully explore the investment
opportunities of the stock trading limit, but also to supplement the research in this
field.
As an important investment strategy in the market, the multi-factor stock
selection model has been widely used in practice, and the multi-factor model has very
strong timeliness, so it is of practical significance to find a multi-factor model that
conforms to the current market situation through research. The stock market is in
constant change, and it is of practical significance to explore which indexes are more
effective in stock selection. In the whole research process, it is crucial to maintain the
rigor and neutrality of data and the scientific nature of data processing methods for the
accuracy of research conclusions, which are valuable research contents compared
with the whole stock investment. Multi-factor stock selection model involves many
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