我国A股市场动量效应研究

发布时间：2018-01-24 00:59

本文关键词： 动量效应超额收益有效市场　出处：《哈尔滨工业大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着金融领域的发展，，金融市场上出现了与传统金融理论相背离的市场异象，动量效应就是其中之一。现有动量效应研究主要分为两类，第一动量效应的存在性及其表现特征，第二从传统金融学理论及行为金融学理论的角度对动量效应的来源进行理论及模型分析。本文主要研究的是我国股票市场上动量效应的存在性及其表现特征的问题，以期探究在中国这样的新兴证券市场上动量效应的存在性，发现股票收益的规律性，从而更好地为学者和投资者提供建议。鉴于股票收益序列在日内及非日内具有不同的特征，本文尝试从日内动量效应和非日内动量效应两个角度进行分析。日内动量效应研究探究的是交易日内的股票收益规律，本文建立起实证模型纵向分析了日内动量效应在不同交易时段的存在性及特征，横向分析了不同类型的收益信息冲击下的日内动量效应。而非日内动量效应研究的是非日内期限内的股票收益规律，本文采用构建投资组合的方法，分别研究了一维的非日内动量及二维的非日内动量效应。本文研究得出：在我国股票市场上存在日内动量效应，日内动量效应在各交易段内的表现有所差异，并且在隔夜正收益冲击下我国股票市场具有动量效应，而在隔夜负收益时市场并未表现出动量。此外，一维的非日内动量研究表明内在市场运行机制的对动量效应的影响是正向的，考虑外部融资融券政策影响后动量效应趋势加强。二维的非日内动量研究表明价格动量在三年以上存在，而交易量动量在一年内表现较为明显。本文的研究一方面检验了有效市场假说在我国A股市场的表现；另一方面日内动量效应的研究可以为投资者在交易日内选择合适的投资时机提供建议；而非日内动量效应的研究可以为投资者投资策略的选取提供建议。
[Abstract]:With the development of the financial field, there are market anomalies that deviate from the traditional financial theory in the financial market, and momentum effect is one of them. The existing research on momentum effect is divided into two categories. The existence and characteristics of the first momentum effect. The second is to analyze the origin and model of momentum effect from the perspective of traditional financial theory and behavioral finance theory. This paper mainly studies the existence of momentum effect and its characteristics in Chinese stock market. Question. In order to explore the existence of momentum effect in the emerging securities market such as China and find out the regularity of stock returns, this paper provides better advice for scholars and investors. In view of the stock return sequence in the intra-day and non-intraday has different characteristics. This paper attempts to analyze the intraday momentum effect and non-intraday momentum effect. This paper establishes an empirical model to analyze the existence and characteristics of intraday momentum effect in different trading periods. This paper analyzes the intraday momentum effect under the impact of different types of income information, but not the intra-day momentum effect, which studies the law of stock returns in non-intraday period. This paper adopts the method of constructing investment portfolio. The one-dimensional and two-dimensional non-intraday momentum effects are studied respectively. The results show that there are intra-day momentum effects in Chinese stock market, and the performance of intra-day momentum effects in different trading segments is different. And under the impact of overnight positive returns, China's stock market has momentum effect, but in the overnight negative returns, the market does not show the amount of action. One-dimensional non-intraday momentum studies show that the influence of internal market mechanism on momentum effect is positive. Considering the influence of external financing and margin policy, the momentum effect trend is strengthened. Two-dimensional non-day momentum studies show that price momentum exists in more than three years, while trading volume momentum is more obvious in one year. On the one hand, this study tests the performance of the efficient market hypothesis in the A-share market of China. On the other hand, the study of intraday momentum effect can provide advice for investors to choose the right time to invest in the trading day. The study of non-intraday momentum effect can provide advice for investors to choose their investment strategies.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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