基于中国A股市场的价格惯性效应和反转效应研究

发布时间：2018-01-01 20:18

  本文关键词：基于中国A股市场的价格惯性效应和反转效应研究　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

  更多相关文章： 惯性效应 反转效应 特征分析 三因素模型 四因素模型

【摘要】：动量现象等其他金融市场上的异常现象的发现使得有效市场理论以及标准金融学面临极大的挑战,标准金融学的支持者一直致力于用风险补偿的方法来对其进行解释,然而在理论和实证检验上始终存在不足之处。这导致了行为金融学这一新的学科的兴起,行为金融学将心理学和行为学结合到金融学的研究中,推翻了标准金融学理性人的假设,在投资者非理性和市场非有效的框架下对市场上的异常现象进行解释。 目前对中国股市动量现象的研究主要集中在惯性效应和反转效应的存在性检验上,而由于中国股票市场起步较晚,各研究人员的样本选择、统计方法等的不同,对于中国股票市场是否存在动量效应或价格反转效应,至今仍无一致的看法。 本文首先对中国A股市场价格惯性和反转效应的存在性进行实证检验,通过对1995-2011年中国A股市场的研究,发现中国股市也存在与美国股市类似惯性和反转效应时间模式,只是中国A股市场的惯性效应持续期更短,惯性效应只存在于2-3周内,而在小于2周的较短期和1-12个月的中期存在明显的反转效应。 由于越来越多的研究发现惯性效应和反转效应与股票的具体特征相关,本文还进一步研究了中国A股市场上的惯性效应和反转效应与股价、交易量及公司规模之间的相关关系。 接下来,本文讨论了惯性和反转套利投资策略超额回报的来源,通过Fama-French(FF)三因子模型来检验这些超额回报能否被市场超额回报、公司规模及账面市值比这三个因子解释,并再次比较了持有期平均收益率经FF三因子风险调整后的超额回报率与股价、交易量及公司规模之间的相关关系。 基于FF三因子模型不能很好地解释中国A股市场的惯性和反转效应,本文还引入了Carhart(1997)提出的四因子模型,检验其对中国A股市场的惯性效应和反转效应的解释力。 最后本文针对中国股票市场的价格惯性和反转效应提出了政策建议。
[Abstract]:Abnormal phenomenon momentum phenomenon and other financial market makes the effective market theory and standard finance is facing great challenges, supporters of standard finance has been committed to the risk compensation to explain it, but in the theoretical and empirical anomalies. This led to the rise of behavioral finance this new discipline, behavioral psychology and behavioral finance research to combine, to overthrow the standard finance rationality hypothesis, investors in non rational and non effective market under the framework of the abnormal phenomenon on the market was explained.
The current research on the momentum phenomenon China stock market mainly concentrated in the inertial effect and the reversal effect of the existence of the test, and because the China stock market started late, the researchers selected samples, statistical methods are different, whether China exists in the stock market momentum effect or the reversal effect, still no consensus.
Firstly, Chinese A stock market price momentum and Contrarian Effect in the empirical test of the existence of, through the study of 1995-2011 China A stock market, the stock market has found China similar with the U.S. stock market momentum and contrarian time mode, just Chinese inertia effect of A stock market duration is shorter, the inertia effect exists only in 2-3 during the week, and in less than the contrarian effect obviously than the mid term and 1-12 months for 2 weeks.
Because more and more studies have found that inertia effect and reversal effect are related to the specific characteristics of stocks, this paper further studies the relationship between inertia effect and reversal effect in China's A share market, and the correlation between stock price, trading volume and company size.
Next, this paper discusses the source of inertia and reverse arbitrage investment strategy of excess return, by Fama-French (FF) three factor model to test these excess returns can be market excess returns, firm size and book to market ratio of the three factors, and again compared the holding period of the average rate of return by the excess rate of return and stock price FF three the risk factor after adjustment, the relationship between the trading volume and the size of the company.
Based on the FF three factor model, the inertia and reversal effects of Chinese A share market can not be well explained. In this paper, a four factor model proposed by Carhart (1997) is introduced to test its explanatory power on the inertia effect and reversal effect of China's A share market.
Finally, this paper puts forward some policy suggestions on the price inertia and reversal effect of China's stock market.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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5 杨p，

本文编号：1366047