个股期权即将推出背景下的动量效应再研究

发布时间：2018-03-10 00:32

本文选题：有效市场假说　切入点：动量效应　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：有效市场假说认为证券的价格已经反映了市场上的所有消息,投资者不可能通过这些消息获得超额利润。然而,动量效应、反转效应、日历效应等价格异象的存在对有效市场假说提出了挑战。动量效应就是过去表现好(差)的股票将来会继续表现(差)。构造动量策略需要卖空输者组合,在以往的中国股市无法实现,但是个股期权的即将推出将使动量策略变为现实。本文首先介绍了作为标准金融学的基石有效市场假说,给出其适用条件。通过动量效应等价格异象引出了标准金融学的局限性。介绍新的流派行为金融学派及其对价格异象的合理解释。随后进入A股动量效应的分板块实证分析。首先实证分析整个大盘分别在牛市行情、熊市行情和完整周期的动量效应。然后分别对创业板、中小市值和蓝筹板块进行同样的实证分析。得出三个结论：一是中小板和创业板的动量收益明显比整个大盘还有蓝筹成分股显著；二是在熊市的动量效应比在牛市要更显著；三是创业板的动量收益从短期(1周到6周)来看和中小板比较类似,均很显著,但是中期(12周)来看中小板动量效应依然显著,但是创业板怎么没有动量效应,甚至出现一定程度上的反转效应。接着通过分析我国股票市场同欧美发达市场的差异,得出我国股票市场具有机构投资者比重过低、投机氛围浓厚和缺乏做空工具三个特点,这些会加剧我国市场的动量效应。通过扩展Hong和Stein的HS模型引入新的一类投资者：技术动量交易者,这类投资者类似于国内坐庄的阳光私募机构,即有消息又能够做线引导散户,从而利用扩展的HS模型对创业板和中小板中短期的动量效应做出解释。文章的最后总结了结论,提出了一些研究上的不足之处并给出改进办法,包括：采用分解的方法对动量收益来元做实证研究、在中小板或创业板的FF3因子模型中引入动量,观察R方有没有显著增大,考虑有交易成本情况下的动量效应是否依然显著。
[Abstract]:The efficient Market hypothesis assumes that the price of securities already reflects all the information on the market, and that investors cannot make excess profits from these information. However, the momentum effect, the reversal effect, The existence of price anomalies such as calendar effect challenges the efficient market hypothesis. In the past, China's stock market could not be realized, but the coming out of individual stock option will make the momentum strategy come true. This paper first introduces the efficient market hypothesis, which is the cornerstone of standard finance. The limitations of standard finance are introduced through price anomalies such as momentum effect. The new school of behavioral finance and its reasonable explanation for price anomalies are introduced. First of all, empirical analysis of the whole market in the bull market, The momentum effect of the bear market and the complete cycle. This paper makes the same empirical analysis between small and medium market value and blue chip plate. Three conclusions are drawn: first, the momentum income of small and medium sized board and growth enterprise board is significantly higher than that of the whole market and blue-chip stocks, the second is that the momentum effect in bear market is more significant than in bull market; Third, the momentum income of the gem is similar to that of the small and medium-sized boards from a short period of 1 to 6 weeks. All of them are very significant, but in the middle of 12 weeks, the momentum effect of the small and medium-sized boards is still significant, but why does the gem have no momentum effect? By analyzing the differences between China's stock market and developed markets in Europe and the United States, it is concluded that China's stock market has three characteristics: the low proportion of institutional investors, the strong speculative atmosphere and the lack of short selling tools. By extending the HS model of Hong and Stein, we introduce a new class of investors: technical momentum traders, who are similar to domestic sun private equity firms. That is to say, it is possible to guide retail investors by making use of the extended HS model to explain the short term momentum effect in the gem and the small and medium sized boards. Finally, the conclusion is summarized, some deficiencies in the research are put forward and the improvement methods are given. Including: using decomposition method to do empirical research on momentum income source, introducing momentum into the FF3 factor model of small and medium-sized board or growth enterprise board, observing whether R side increases significantly or not, considering whether momentum effect is still significant under transaction cost.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【共引文献】