我国创业板市场动量效应与反转效应研究

发布时间：2018-03-12 11:56

本文选题：创业板市场　切入点：动量效应　出处：《山西财经大学》2017年硕士论文　论文类型：学位论文

【摘要】：自从20世纪80年代动量效应这一概念被提出以来,就引起金融学界学者的不断讨论。传统金融学派希望能够通过传统金融理论对这一现象进行解释,但一直都没有能像行为金融学派那样得出一个相对完整而合理的解释理论体系,因此动量效应成为传统金融学派与新兴的行为金融学派的争论热点,而90年代反转效应的发现更是引发了进一步的讨论。在动量与反转效应的相关研究中,部分发达国家对证券市场的研究较为全面,但对于我国,研究对象主要集中于主板市场以及中小板市场,对创业板市场的研究较少。作为我国多层次资本市场结构中的年轻一员,创业板市场在支持中小企业融资以及促进经济转型发展方面起着至关重要的作用。动量与反转效应在创业板市场的研究不但可以丰富行为金融理论,同时也可以使创业板市场定价合理化、规范化,进一步完善创业板市场,更好地发挥其资本市场的作用。本文在Jegadeesh与Titman(1993)对动量与反转效应的研究方法基础上,利用创业板市场筛选后的165只股票共196周的周收益率数据进行了实证分析,分析结果表明我国创业板市场存在显著的短期(极短期)反转效应以及中期动量效应。在此基础上又进一步对创业板典型的5个分行业股票进行实证分析,结果表明机械行业呈现短期与中期的反转效应,基础化工行业的动量与反转效应都不显著,而计算机行业、电子元器件行业以及医药生物行业都显示了与创业板市场一样的实证结论,那就是短期(极短期)的反转效应与中期的动量效应。并且对于创业板整体与5个分行业来说,下降市区间实证结果的显著性都不如上升市区间强。针对实证结果,通过分析可得出创业板市场之所以存在短期(极短期)反转效应与中期动量效应主要是由于创业板市场结构不合理、“政策市”现象影响严重以及投资者行为特点的缺陷所造成的。在此基础上本文为投资者提出了具体的投资意见,并且为创业板市场健康平稳的发展提出了较为详细的政策性建议。
[Abstract]:Since the concept of momentum effect was put forward in 1980s, it has aroused constant discussion among the scholars of finance. The traditional finance school hopes to explain this phenomenon through the traditional financial theory. However, the momentum effect has become a hot issue between the traditional financial school and the new behavioral finance school, since it has not been able to come to a relatively complete and reasonable explanation theory system like the behavioral finance school. In 90s, the discovery of the reverse effect led to further discussion. In the research of momentum and reversal effect, some developed countries have more comprehensive research on the stock market, but for our country, The research object is mainly focused on the main board market and the small and medium-sized board market, but the research on the gem market is less. As a young member of the multi-level capital market structure of our country, The gem market plays an important role in supporting the financing of small and medium-sized enterprises and promoting the development of economic transformation. The momentum and reversal effects in the gem market can not only enrich the behavioral finance theory. At the same time, it can also rationalize and standardize the pricing of the gem market, further improve the gem market and give better play to the role of its capital market. This paper based on the research method of momentum and reversal effect of Jegadeesh and Titanium 1993. Based on the data of 196 weeks of weekly rate of return of 165 stocks screened in the gem, this paper makes an empirical analysis. The results show that there are significant short term (very short term) reversal effects and medium term momentum effects in China's gem market. The results show that the short and medium term reverse effects are present in the mechanical industry, while the momentum and inversion effects in the basic chemical industry are not significant, while in the computer industry, Both the electronic components industry and the pharmaceutical and biological industry have shown the same empirical conclusion as the gem market, that is, the short (very short) reversal effect and the medium term momentum effect. And for the gem as a whole and 5 sub-industries, The decrease of empirical results between urban areas is not as significant as that of rising cities. Through the analysis, it can be concluded that the short-term (very short term) reversal effect and the medium term momentum effect are mainly due to the unreasonable structure of the gem market, the serious influence of the "policy market" phenomenon and the characteristics of investors' behavior. On the basis of this, this paper puts forward specific investment advice for investors. And for the gem market healthy and stable development put forward more detailed policy recommendations.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

【参考文献】