中国股市周期波动中的均值回归

Mean Reversion in the Cyclical Movement of Chinese Stock Market

摘要: 均值回归指资产价格倾向于围绕平均值波动。本文选用平均市盈率作为中国股市的估值指标，考察其在1993年至2014年之间的周期波动情况。分析结果表明均值回归的规律性在中国股市也是有效的。本文还使用均值回归的方法，以历史的市盈率和上市公司的业绩增长率为基础，对中国股市做预测，认为中国股市本轮的牛市如果能延续三年到五年，上海指数的上涨目标可以达到16,000至20,000点。

Abstract: Mean reversion is the assumption that assets prices tend to fluctuate around mean value. This essay uses the average PE ratio as the indicator of valuation of Chinese stock market and analyzes its cyclical movement during 1993 and 2014. Our research indicates that mean reversion is effective in Chinese stock market. This essay also tries to forecast the market, using mean reversion as a tool, based on the historical data of PE ratio and growth rate of Chinese listed companies. It is estimated that Shanghai Index will rise to the range of 16,000 - 20,000, on the consumption that the current bullish market will last for 3 or 5 years.