中国股市动量效应和反转效应检验与解释

发布时间：2018-04-02 18:40

本文选题：动量效应　切入点：反转效应　出处：《南京师范大学》2012年硕士论文

【摘要】：传统金融理论在今天遇到了挑战,一方面是股票市场异象的存在,推翻了股票市场是弱式有效市场的假定。另一方面,理性人这一前提假设受到质疑。在其中,以人的不完全理性为假设的行为理论得以发展。本文从非完全理性人的假设出发,结合信息传播的理论,构建了信息消化模型。信息传播的过程,也会传播情绪和观点,会影响投资者的判断。不完全理性的个人,在接受信息的过程中,会受到其他的人的影响,尤其是群众的影响而做出不理性的决策。在股票市场上尤其如此,因为股票价格难以确定,即使是资产定价模型亦难以给出精确定价。在此理论上构建了信息消化模型,解释了动量效应和反转效应的成因,并且从模型中得到两个关于牛熊市中动量效应和反转效应不同表现的推论。在检验部分,本文使用Debont和Thaler(1985)以及Jegadeesh和Titman(1993)的方法分别研究了中国股市的反转效应和动量效应,创新之处在于将股市的状态分为熊市、牛市和震荡市,研究在其中的动量效应和反转效应的特点。结果表明,和其他学者的研究结果一致,中国股市存在明显的反转效应,可以使用反转投资策略获得持续的超额收益。并且对于跨域了牛熊市的股票组合,其反转效应更显著。但是动量效应不能一概而论,因为在三种市场状态中,动量效应的表现不同。在牛市和熊市之中,高市值高股价的大公司股票价格表现出月度动量效应,而在震荡市中,表现出明显的月度反转效应。另外,检验结果也验证了信息消化模型推导出的两个推论。但是,尽管其推论得到检验证实,但在更严谨的研究展开之前,对信息消化模型需要有保留地接受。
[Abstract]:The traditional financial theory is confronted with a challenge today. On the one hand, the existence of the abnormal vision of the stock market overturns the assumption that the stock market is a weak efficient market.On the other hand, the hypothesis of rational man is questioned.Among them, the behavior theory based on the assumption of incomplete rationality of human beings has been developed.Based on the hypothesis of incomplete rational people and the theory of information dissemination, this paper constructs an information digestion model.The process of information dissemination, will also spread emotions and views, will affect the judgment of investors.In the process of receiving information, individuals who are not completely rational will be influenced by other people, especially by the masses, and make irrational decisions.This is especially true in the stock market, where stock prices are difficult to determine and even asset pricing models are difficult to price accurately.In this paper, the information digestion model is constructed, the causes of momentum effect and reversal effect are explained, and two inferences about the different expressions of momentum effect and reversal effect in bull bear market are obtained from the model.In the test part, we use the methods of Debont and Thalerian (1985) and Jegadeesh and Titmanton (1993) to study the reverse effect and momentum effect of Chinese stock market respectively. The innovation lies in dividing the state of stock market into bear market, bull market and shock market.The characteristics of momentum effect and reversal effect are studied.The results show that, in line with the research results of other scholars, there is an obvious reversal effect in China's stock market, and the strategy of reverse investment can be used to obtain sustained excess returns.Moreover, the reversal effect is more significant for the stock portfolio with a cross-domain bull bear market.But the momentum effect can not be generalized, because in the three market states, the momentum effect performance is different.In bull and bear markets, large companies with high market value share prices exhibit monthly momentum effects, while in volatile markets, they exhibit significant monthly reversal effects.In addition, the test results also verify the two inferences derived from the information digestion model.However, although the corollary is verified by the test, the information digestion model needs to be accepted with reservations before more rigorous research is carried out.
【学位授予单位】：南京师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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