中国经济周期波动和机构投资者资产配置对策

【Abstract】wWw.shuoshilunwen.com Asset allocation theories come to China since 2001. At that time, China stock market is falling down and brings huge loss to institutional investors. Then, China stock market comes into free circulate market in 2005 and the stocks is keep rising. Unfortunately, financial crisis in 2008 makes stock market falling down throughout the world. Of course, China stock market can’t be except. It’s a wonder that world stock market comes back in 2009! How to make fortune and oid loss in so huge shock stock market in China? It’s really a question to many institutional investors.In this paper, I am trying to discover the relationship between asset price and economic cycle through the investment of China economic cycle, to find out suitable asset allocation strategy for institutional investors in China security market.This paper use GDP and monthly GDP Index to separate China economic cycle first. Then use Merlin Investment Clock theory to find relationship between asset allocation and economic cycle and find out the big category asset allocation strategy. After that, this paper analyzes the stock asset allocation separately. Through date statistics and analysis for China industry and stock market, this paper find out that the orientation of China economic cycle and asset price is finally accordant, although they may be different for some factors at one time. Expect the economic cycle; any best stock asset allocation can’t make right money in China market. So, institutional investors might use economic cycle to instruct security asset allocation direction to get excess return.