中国股市动量效应和反转效应的实证与成因分析

发布时间：2018-03-09 00:11

本文选题：行为金融学　切入点：动量效应　出处：《浙江工商大学》2014年硕士论文　论文类型：学位论文

【摘要】：自20世纪50年代有效市场假设提出以来,股票市场的有效性一直是学术界关注的重点。一些客观存在的股市异象对有效市场假设提出了严峻的挑战,其中一种已被证实存在的异象就是所谓的“动量效应”或“反转效应”。那么中国股市作为一个新兴的、不断发展中的市场,是否也和美国、德国、日本等发达国家一样存在着显著的动量效应或反转效应；如果存在动量效应或反转效应,那么动量效应或反转效应所产生的原因是什么? 本文针对上述两个问题展开研究,全文共分五个部分。第一部分为绪论；该部分简要介绍了研究背景、研究目的和意义并对相关研究文献进行了综述。第二部分为理论基础；该部分以行为金融学模型为基础,对动量效应和反转效应的形成机制进行探讨,并对研究原理、研究方法进行分析。第三部分为实证研究；该部分通过构造动量投资组合,从总体到分市场对中国股市的动量效应和反转效应进行实证检验,结果表明：总体上,中国股市短期存在显著的动量效应,长期呈现反转效应。第四部分为动量效应和反转效应的成因分析；该部分首先对中国股市投资者的整体状况和行为特征进行概述,接着应用Jegadeesh和Titman(2001)的检验方法对中国股市动量效应和反转效应的成因进行分析,分析认为造成中国股市短期动量效应、长期反转效应的根本原因是投资者的过度反应。具体地说是中国股市投资者对于政策的过度反应；本文结合中国传统文化,从心理因素的角度对“政策市”的形成和投资者在“政策市”中的投资心态进行剖析,以更好的解释这种过度反应。第五部分为全文的总结和建议。该部分首先清晰地指出了全文的主要结论,然后提出政策性建议,最后对进一步的研究进行了展望。
[Abstract]:Since the efficient market hypothesis was put forward in 1950s, the effectiveness of stock market has been the focus of academic attention. Some objective stock market anomalies have posed a severe challenge to the efficient market hypothesis. One of the anomalies that has been proved to exist is the so-called "momentum effect" or "reversal effect." well, as an emerging and developing market, is the Chinese stock market also in line with the United States and Germany? Japan and other developed countries have significant momentum effect or reversal effect; if there is momentum effect or reversal effect, what is the cause of momentum effect or reversal effect? The thesis is divided into five parts: the first part is the introduction, the first part introduces the research background, the purpose and significance of the research, and the related research literature is summarized. The second part is the theoretical basis. Based on behavioral finance model, this part discusses the formation mechanism of momentum effect and reversal effect, and analyzes the research principle and research methods. The third part is empirical research. The momentum effect and reverse effect of Chinese stock market are tested from the whole to the sub-market. The results show that the momentum effect of the Chinese stock market is significant in the short term. The 4th part is the analysis of momentum effect and reversal effect. This part first summarizes the overall situation and behavior characteristics of Chinese stock market investors. Then using the test method of Jegadeesh and Titmanton 2001, the author analyzes the causes of momentum effect and reverse effect of Chinese stock market, and concludes that the short-term momentum effect of Chinese stock market is caused. The fundamental cause of the long-term reversal effect is the overreaction of investors. Specifically, the overreaction of Chinese stock market investors to the policy. From the perspective of psychological factors, the formation of "policy city" and the investment mentality of investors in "policy city" are analyzed. A better explanation of this overreaction is given. Part 5th is the summary and suggestion of the full text. This part points out the main conclusions of the paper clearly, then puts forward some policy suggestions, and finally looks forward to further research.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

【参考文献】