中国股市动量交易策略的有效性研究
发布时间：2018-07-20 11:48
【摘要】：本文的研究目的在于了解在以月度为时间期限的情况下，动量策略在中国股市应用的有效性。 论文首先回顾了金融理论的发展脉络。这包括金融市场的两个基石：有效资本假说和CAPM模型。接着论述了金融市场的一些异象，这包括账面与市值比、规模效应、市盈率、反转效应和日立效应等。 本文在前人研究的基础上考察了以月度为时间期限的情况下，形成期为1、3、6、9和12个月，持有期为1至12个月共计60个动量策略的有效性。研究发现策略（9，9）能过获得显著的动量利润。其年化的收益率为1.81%。而且，，这个收益率在1%的水平上显著。这个收益率并不是一个足够大的收益率。由此可以得出结论，动量策略在中国的股票市场效果不大。但是，通过本文的分析，发现中国的股票市场在研究的不同形成期持有期组合内呈现出较强的反转现象。反转效应表现最明显的是输家组合。随着持有期的延长，反转的收益逐渐下降。 接下来本文考察了研究样本十分位组合的特征和动量利润分解。在考察动量效应与风险、交易量、交易金额和流通市值的关系时，本文发现不同的组合表现出不同的特征。每种因素都能对动量策略具有一定的解释作用。
[Abstract]:The purpose of this study is to understand the effectiveness of momentum strategy in China's stock market under the monthly time limit. Firstly, the paper reviews the development of financial theory. This includes the two cornerstones of financial markets: the efficient capital hypothesis and the CAPM model. Then it discusses some anomalies of financial market, including book to market value ratio, scale effect, price-earnings ratio, reverse effect and Hitachi effect. On the basis of previous studies, this paper investigates the effectiveness of 60 momentum strategies with a monthly time limit of 1 / 3 / 6 / 9 and 12 months and a holding period of 1 to 12 months respectively. The study found that the strategy (9 / 9) can achieve significant momentum profit. Its annualized rate of return is 1.81. Moreover, the yield is significant at a level of 1%. This rate of return is not a large enough rate of return. It can be concluded that momentum strategy has little effect in Chinese stock market. However, through the analysis of this paper, it is found that the Chinese stock market shows a strong reversal phenomenon in the portfolio of different forming periods. The most obvious reversal effect is the loser combination. With the extension of the holding period, the return of the reverse gradually decreased. Then we investigate the characteristics and momentum profit decomposition of ten bit combinations of samples. When we examine the relationship between momentum effect and risk, transaction volume, transaction amount and market value, we find that different combinations exhibit different characteristics. Each factor can explain the momentum strategy to some extent.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51
[Abstract]:The purpose of this study is to understand the effectiveness of momentum strategy in China's stock market under the monthly time limit. Firstly, the paper reviews the development of financial theory. This includes the two cornerstones of financial markets: the efficient capital hypothesis and the CAPM model. Then it discusses some anomalies of financial market, including book to market value ratio, scale effect, price-earnings ratio, reverse effect and Hitachi effect. On the basis of previous studies, this paper investigates the effectiveness of 60 momentum strategies with a monthly time limit of 1 / 3 / 6 / 9 and 12 months and a holding period of 1 to 12 months respectively. The study found that the strategy (9 / 9) can achieve significant momentum profit. Its annualized rate of return is 1.81. Moreover, the yield is significant at a level of 1%. This rate of return is not a large enough rate of return. It can be concluded that momentum strategy has little effect in Chinese stock market. However, through the analysis of this paper, it is found that the Chinese stock market shows a strong reversal phenomenon in the portfolio of different forming periods. The most obvious reversal effect is the loser combination. With the extension of the holding period, the return of the reverse gradually decreased. Then we investigate the characteristics and momentum profit decomposition of ten bit combinations of samples. When we examine the relationship between momentum effect and risk, transaction volume, transaction amount and market value, we find that different combinations exhibit different characteristics. Each factor can explain the momentum strategy to some extent.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51
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