我国股票市场实施动量交易策略的实证研究

发布时间：2018-05-22 09:24

本文选题：动量效应 + 动量交易策略　；参考：《华南理工大学》2012年硕士论文

【摘要】：自发现动量效应的存在后，这一效应不仅在学术领域引起了争论，在实践操作中也产生了各种不同指标的动量交易策略。在技术分析中价值线排名分析就是基于动量效应的价格动量分析，一些以基本面分析为主的投资策略也应用了动量效应。对各种不同的动量交易策略的获利性进行研究，不仅有助于推动金融理论的发展，还可以为技术分析及投资者决策服务。本文在总结国内外关于动量效应的实证研究及分析结果之后，基于中国股市的特有性质，形成了本文的理论基础。然后采集我国沪市A股数据，并按公司规模、账面市值比、动量大小进行三分位独立分组，形成动量投资组合。依次进行了排序期和持有期同时为1、3、6个月时引入公司规模因子和账面市值比因子的动量交易策略获利性研究，并对其差异进行分析。最后依据本文的实证结果探讨了其形成的原因，并指出本文的不足之处。本文通过研究上述动量交易策略发现：股票的动量交易策略在中国股票市场上具有可行性，并且公司规模因素的效果比账面市值比因子的效果在远期更加明显。为此，本文建议在采用动量交易策略时，不仅要认识到动量投资策略有其局限性，还要根据赢家组合的具体情况进行操作。实证检验的结论与市场的实际情况相符合，，证明了动量效应的存在及其对技术分析的影响。
[Abstract]:Since the discovery of momentum effect, this effect has not only caused controversy in the academic field, but also produced a variety of momentum trading strategies of different indexes in practice. In technical analysis, the value line ranking analysis is based on the momentum effect of price momentum analysis, and some investment strategies based on fundamental analysis also apply momentum effect. The research on the profitability of different momentum trading strategies not only helps to promote the development of financial theory, but also serves for technical analysis and investor decision making. After summing up the empirical research and analysis results of momentum effect at home and abroad, this paper forms the theoretical basis of this paper based on the unique properties of Chinese stock market. Then the A-share data of Shanghai stock market are collected and divided into three independent groups according to company size book market value ratio and momentum to form momentum portfolio. The sequential period and the holding period are 1 / 3 respectively. The profitability of momentum trading strategy with the introduction of the company size factor and the book market value ratio factor at 6 months is studied and the differences between them are analyzed. Finally, according to the empirical results of this paper, the causes of its formation are discussed, and the shortcomings of this paper are pointed out. In this paper, we find that the momentum trading strategy of stock is feasible in Chinese stock market, and the effect of company size factor is more obvious than that of book market value factor in the future. Therefore, this paper suggests that in adopting momentum trading strategy, we should not only recognize the limitations of momentum investment strategy, but also operate according to the specific situation of winner portfolio. The conclusion of empirical test is consistent with the actual situation of market, which proves the existence of momentum effect and its influence on technical analysis.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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