我国股市短期收益反转模型及其实证研究

发布时间：2018-05-05 15:49

本文选题：短期收益反转 + 流动性　；参考：《华中科技大学》2012年硕士论文

【摘要】：本文主要论述股票市场短期收益反转的模型以及在中国股票市场沪、深两市的实证研究。本文构建了一个股票市场的结构模型，它建立在股票市场存在一部分的投资者并不经常的出现在市场中这一主要假设上。本文研究了基于这个假设的股票的流动性，收益反转模式，非流动性溢价，即时成本，即时供给的收益以及波动性。本文提出的理论模型预测了股票收益反转模式为指数形式，以及收益反转的总数，收益反转的速度以及波动性都与股票的流动性相关。基于本文所提出的理论模型，，本文将其运用到中国2001年到2008年间的沪深两市全部A股股票。对选取的时间区域的股票样本进行数据处理和筛选。然后根据本文所提出的理论模型进行回归实证分析。并从多个角度进行实证。研究结果表明：股票市场短期收益反转符合模型所预测的指数形式，同时用输家组合和赢家组合也进行相同分析，赢家组合在极短期的收益反转并不似输家组合呈现较好的指数形式。经过分析推测其中有多方面的原因。同时相关的实证分析也较好的证明了模型关于股票流动性的预测。
[Abstract]:This paper mainly discusses the model of short-term return reversal in stock market and the empirical research in Shanghai and Shenzhen stock markets in China. In this paper, a structural model of stock market is constructed, which is based on the assumption that investors with a part of the stock market do not often appear in the stock market. This paper studies the liquidity, return reversal model, illiquidity premium, immediate cost, immediate supply return and volatility of stocks based on this hypothesis. The theoretical model proposed in this paper predicts that the stock return reversal model is exponential, and the total number of return reversals, the speed of return inversion and the volatility are all related to the stock liquidity. Based on the theoretical model proposed in this paper, this paper applies it to all A-share stocks in Shanghai and Shenzhen stock markets from 2001 to 2008. The stock samples in the selected time area are processed and filtered. Then according to the theoretical model proposed in this paper, the regression empirical analysis is carried out. And from a number of angles to conduct empirical. The results show that the short-term return reversal in the stock market accords with the exponential form predicted by the model, and the same analysis is also carried out with the loser portfolio and the winner portfolio. The winner portfolio in the very short-term return reversal does not show a better exponential form than the loser portfolio. After analysis, we speculate that there are many reasons. At the same time, the related empirical analysis also better proves the model of stock liquidity prediction.
【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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