异质信念与中国股市反转效应

发布时间：2018-01-02 15:17

本文关键词：异质信念与中国股市反转效应　出处：《华中科技大学》2012年硕士论文　论文类型：学位论文

【摘要】：金融市场的有效性一直是学术界关注的问题，股票市场出现的动量效应与反转效应异象引起了很多人的关注，运用行为金融学理论来解释股市异象也成为热点问题。中国股票市场虽然经过了20多年的快速发展，但是远未达到有效的层次，可以期望在成熟的股市市场上出现的动量与反转效应在中国股票市场也存在。同时由于中国股市异质信念比较大，二者间的关系也是一个值得关注的问题。本文从理论和实证上分析了中国股市的动量和反转效应。理论上本文运用Hong和Stein的理论，把投资者区分为信息观察交易者和动量交易者，，引入异质信念的代理指标，得出中国股票市场由于具有政策市的特征会引起反转效应，同时异质信念越高的股票其越容易发生反转效应。实证方面，首先，本文采用了Jegadeesh的检验方法，通过排序期的零投资组合的构造，检验持有期零投资组合的收益，本文选用周度数据进行检验，发现中国股市在一个月内的所有零投资策略上都存在反转。其次，鉴于中国股市存在严重的异质信念特征，本文选取了换手率作为异质信念的代理指标，研究不同换手率下的投资策略是否会对反转效应产生影响，结果显示，换手率越高的股票，反转效应越明显。在控制了规模这一因素之后，检验换手率的影响，结论依然与前述一致。最后，本文检验了高低换手率之间的差异是否可以用单因素模型和三因素模型来解释，结果显示，随着换手率的提高，回归方程的常数项也在提高，且是显著的，而高低换手率之间的收益差异并不能用单因素和三因素模型来解释，说明了异质信念是导致反转效应产生的原因。总的来说，本文尝试应用异质信念来解释中国股市反转效应的形成，得出异质信念越大，反转效应应该越强的结论。
[Abstract]:The effectiveness of the financial market has always been concerned by the academic community, the momentum effect and reversal effect of the stock market has attracted many people's attention. Using behavioral finance theory to explain stock market anomalies has also become a hot issue. Although the Chinese stock market has developed rapidly for more than 20 years, it is far from reaching the effective level. It can be expected that the momentum and reversal effects in the mature stock market also exist in the Chinese stock market. At the same time, the relationship between them is also a problem worth paying attention to because of the heterogeneity of the Chinese stock market. This paper analyzes the momentum and reversal effects of Chinese stock market theoretically and empirically. In theory, using the theories of Hong and Stein, investors are divided into information observer traders and momentum traders. Introducing the proxy index of heterogeneity belief, it is concluded that the Chinese stock market has the characteristics of policy market will cause reversal effect, and the higher the heterogeneity belief, the more likely the reverse effect will occur. This paper uses the Jegadeesh test method, through the sequencing period of the construction of zero-portfolio to test the earnings of the zero-portfolio holding period, this paper uses cycle data to test. It is found that there is a reversal in all the zero investment strategies in the Chinese stock market within one month. Secondly, in view of the serious heterogeneity characteristics of the Chinese stock market, the turnover rate is selected as the proxy index of the heterogeneous beliefs. The results show that the higher the turnover rate, the more obvious the reverse effect. After controlling the scale factor, test the effect of turnover rate. The results show that the difference between high and low turnover rates can be explained by univariate model and three-factor model. The results show that the difference between high and low turnover rates increases with the increase of turnover rate. The constant term of regression equation is also increasing, and it is significant that the difference of return between high and low turnover rate can not be explained by single factor and three factors model, which shows that heterogeneity belief is the cause of reverse effect. In general, this paper tries to explain the formation of the reverse effect of Chinese stock market by using heterogeneity belief, and draws the conclusion that the larger the heterogeneity belief, the stronger the reverse effect should be.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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