基于Z模型对人民币贬值收益板块的多指标选股策略研究
Research on Multi-Index Stock Selection Strategy Based on Z Model on RMB Depreciation Income Sector

自从“811”汇改以来，人民币汇率便以螺旋上升的姿态逐步升高，尤其是中美贸易战，以及新冠疫情期间，更多次出现“破7”。虽然当前市场投资环境下，投资者厌恶高利率与货币升值，但事无绝对，对于某些企业，尤其是出口型企业，汇率上升反而有助于其企业发展。本文将选取人民币贬值受益板块341支股票的数据进行研究分析，筛选出影响股票的走势的21个候选指标，并对这21个候选指标进行有效性检验。然后对有效但冗余的指标进行剔除，根据指标对股票走势的影响，对有效但不冗余指标用等权重法进行权重处理，对得到的结果进行排列，构建综合Z评分模型，找出各股票的有效但不冗余指标，按照升序排列打分，最后再验证所构建模型的有效性。完成上述步骤之后，选取打分高的股票，可以构建超额收益较高的投资组合，为股市中人民币贬值收益板块的投资者提供投资建议。
Since the “811” currency reform, the RMB exchange rate has gradually increased in a spiraling manner, especially during the Sino-US trade war, and during the new crown epidemic, there have been more “breaking 7”. Although investors hate high interest rates and currency appreciation in the current market investment environment, there are no absolutes, and for some enterprises, especially export-oriented enterprises, the appreciation of the exchange rate will help their busi-ness development. In this paper, we will select the data of 341 stocks in the sectors benefiting from RMB depreciation for research and analysis, screen out 21 candidate indicators that affect the trend of stocks, and test the validity of these 21 candidate indicators. Then, the effective but redundant indicators are eliminated, and according to the impact of the indicators on the stock trend, the effective but not redundant indicators are weighted by the equal weight method, the obtained results are arranged, a comprehensive Z-scoring model is constructed, the effective but not redundant indicators of each stock are found, and the scores are arranged in ascending order, and finally the effectiveness of the constructed model is verified. After completing the above steps, you can select stocks with high scores to build a portfolio with higher excess returns, providing investment advice to investors in the RMB depreciation income sector of the stock market.