经济危机下中国股市惯性与反转的实证分析

发布时间：2018-08-04 11:07

【摘要】：股票价格的惯性和反转效应的发现，向传统金融理论发出了极大的挑战，而这一现象也已经在许多国家的证券市场上得到了验证。国内学者通过对我国早期股票市场的实证研究，同样验证了惯性效应和反转效应的存在。但由于我国证券市场成立较晚，并无经济危机背景下的相关研究，，本文选用De BondtThaler的经典方法对经济危机下的中国股票市场进行惯性与反转效应研究，选取沪深300指数成分股作为样本，对股票的周收益和月收益进行中短期检验。本文的实证结果显示，我国A股收益率绝大多数情况表现出反转效应，而较少具有惯性效应；尤其在短期的周收益检验中，惯性现象仅存在于超短期与特定时段的投资组合中。为了考察不同市场形态下惯性和反转的不同特征，实证的第二部分对单边市和震荡市分别进行了研究，得出了在单边市场上更容易表现出价格惯性的结论。通过对风险套利组合在后持有期间收益的检验，本文将我国股市出现时间序列效应的原因归结为过度反应；同时，通过分析危机中的下跌市场容易出现后悔厌恶和羊群行为的负反馈机制，解释了单边下跌市场上较多惯性效应的原因。此外，本文还进一步阐述了我国市场反应不足和羊群效应显著的原因。
[Abstract]:The discovery of inertia and reverse effect of stock price challenges the traditional financial theory, and this phenomenon has been verified in many countries. Through empirical research on the early stock market in China, domestic scholars also verify the existence of inertia effect and reverse effect. However, due to the late establishment of China's stock market and no related research under the background of economic crisis, this paper chooses de BondtThaler's classical method to study the inertia and reversal effects of Chinese stock market under the economic crisis. Shanghai and Shenzhen 300 index component stocks are selected as samples to test the weekly and monthly returns of the stocks in the short and medium term. The empirical results of this paper show that the yield of A shares in China shows reverse effect in most cases, but less inertia effect, especially in the short-term weekly income test, the inertia phenomenon only exists in the ultra-short-term and specific period of investment portfolio. In order to investigate the different characteristics of inertia and reversal under different market patterns, the second part of the empirical study of one-sided market and shock market, we get the conclusion that price inertia is easier to show in unilateral market. Based on the test of the return of risk arbitrage portfolio in the post-holding period, this paper ascribes the time series effect of China's stock market to overreaction, at the same time, By analyzing the negative feedback mechanism of regret aversion and herd behavior in the market of falling in crisis, this paper explains the reason of more inertia effect in the market of unilateral fall. In addition, the reasons of insufficient market response and herding effect in China are further discussed.
【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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